Regarding the "Come" command - almost everyone's yorkie stares blankly at them when they are called.
So it sounds like there's another problem here, potty training.
Certainly some dogs are more strong willed than others, but you need to put in the time and consistency. It's not fair to expect him to become a perfect pet all on his own. While Cesar Milan is not my favorite trainer, I think he's right when he says that all dogs need exercise, (consistent) discipline, and affection.
How frequently do you walk him? Does he get other kinds of exercise? How much? Do you guys have good times together where you're just chilled?