Am I correct in understanding that CBA in Azure using Yubi requires the customer (me) to setup our own private CA? Are there any cloud native CA solutions that work with Yubi and Azure CBA?
Yes, that is correct. Hypothetically, you should be able to use virtually any CA, regardless of whether it is on-prem or cloud hosted, but at this time we only have published guidance on using an on-prem Microsoft CA (Windows Server Active Directory Certificate Services) - support.yubico.com/hc/en-us/articles/360013707820. See also support.yubico.com/hc/en-us/articles/7464901246236 for additional information on CBA.