There isn't the possibility of selecting the connection protocol.
If I write “localhost”, and my server has shared memory on, then shared memory will be used, with the name “MYSQL”, that I can't change.
I have 2 local server with shared memory on, and SqlYog connect always with the “first” server.
At the moment, I connect with “127.0.0.1” with different port number.
When SqlYog connect with shared memory, then various operation will fail, for example “Backup Database as SQL dump” will throw exception “Unknown MySQL server host 'MYSQL' (0).