Yellow lights were first used in France during the war, in order that French cars could be differentiated from Germans at night.
Until 1991, French cars had yellow lights, at which point the law changed and they became white, like everyone else in Europe. In France, if you own a pre-1992 car, you can still use yellow lights if you want, but not on later cars.
AFAIK, they have never been 'standard' fitment on UK cars, and I presume their legality will be as much down to brightness as anything else.