There is a belief, with a decent amount of scientific evidence that dogs can 'see' energy fields. All living things have these energy fields and dogs have the ability to sense them after a living person has passed, or even sense the energy across continents. This may be what your Yorkies are sensing!
There is an AWESOME book, called Dog Body, Dog Mind that speaks to this subject and explains how this works and the scientific and anecdotal evidence to back it up. It is written by Dr. Michael Fox, a veterinarian and animal behaviorist.
Its an awesome read. I read it as my grandfather was dying and it provided extraodinary comfort and gave me great insight as to why I am so attracted to dogs and feel safer/happier/comforted by their presence.
Amazon.com: Dog Body, Dog Mind: Exploring Canine...