Green’s Dictionary of Slang

yellow v.

(US Und.) to turn cowardly.

1937		E. Anderson Thieves Like Us (1999) 195: You ain’t going to yellow on me.
1947		C.S. Montanye ‘Frozen Stiff’ in Popular Detective Mar. 🌐 How did I know Tommy was going to yellow on us?
1959		E. De Roo Go, Man, Go! 100: Yellowed out because a hot car was brought in here and we told ’em to take it apart.

In phrases

yellow up (v.)

(US) to turn cowardly.

1937

E. Anderson Thieves Like Us (1999) 134: All that guy had done was yellowed up.