There is no such option. And the primary reason is how the various tabs in the interface are 'parents' and 'children' of each others. The QB tab cannot have a 'child' RESULT tab – only a QUERY tab can. If a RESULT tab (and MESSAGES and PROFILER tabs) should fit in the bottom of a QB tab the size of the canvas would reduce, and there is not too much space already.
But we have this in our issue-tracker: http://code.google.com/p/sqlyog/issues/detail?id=364 . We would let the program open a QUERY tab, paste the generated query there and execute it. That can be done. The question is: should we open a new query tab every time or just open such once and next time append a (new) query to same tab?