I think some Yorkies think they have a job to do when they are outside. Many of them are still very prey oriented. Yorkies were bred to kill vermin so when they start smelling the outside animals they get very focused on those scents. Gracie is kind of like that. When we are on the walk she is so consumed with smelling everything. In the backyard she loves checking out all the scents. She does respond if I call her but she would prefer if I just ignore her and let her do her thing for a while. I guess she likes to pretend she is a real hunter for a while.
I don't think your girl is ashamed of you. She probably thinks she is protecting you!