This list of mythical creatures that begin with this letter and I am constantly gathering information from each continent, and is continually being updated.
Yeth Hound (English)
The Yeth Hound (or Yell Hound) is a black dog found in Devon folklore. According to Brewer's Dictionary of Phrase and Fable, the Yeth Hound is a headless dog, said to be the spirit of an unbaptised child, that rambles through the woods at night making wailing noises. It is also mentioned in the Denham Tracts, a 19th-century collection of folklore by Michael Denham.
It may have been one inspiration for the ghost dog in The Hound of the Baskervilles by Sir Arthur Conan Doyle, described as "an enormous coal-black hound, but not such a hound as mortal eyes have ever seen" - with fire in his eyes and breath.