sounds like a typical Yorkie to me. They're either afraid (maybe they know what's going to happen next - like you're going to brush their teeth), don't like being picked up, or they like playing the 'chase me' game.
My two do the same. It can be cute and it can be super annoying.
Like you, I reinforced the stay and it's worked for me (in an indoor familiar environment, at home).
Alternatively, if you want to train them out running away, I believe you could try this...
Each time they come to you and let you pick them up, give them a treat. Do it for any given time they let you pick them up, whether for fun, to sit on the couch, to put the leash on etc. With time, they'll associate being picked up to getting a treat and will automatically want to be picked up. The difficult part would be to always have a treat on hand.
*but you'd want to train them "come" first with treats
** and
never scold or yell at them for coming to you, even if they had an accident etc. always always tell them good girl/boy if they come to you.