Welcome to YT!
I guess it could be an allergy thing. Yorkies are often allergic to corn and/or wheat in their food. I would try a new food without those ingredients and until this kicks in I would put a cotton t-shirt on her to prevent her from damaging her hair and skin further. It also could be the shampoo you're using.
Mitzi had the same problems and since we changed food and shampoo everything is fine. For some reason the shirt helped her in the transition time to soothen the itching.
I hope your baby is getting better really soon!
