I did a simple DUMP as SQL option for a database. I selected a file name and exported it. An empty file named SQLyog_Dump_000.dmp was created in the same folder.
PS: I am running it on Ubuntu Fiesty Fawn using the latest WINE.
When SQlyog starts such zero-size file is created. If no error occurs the fille will be deleted when SQLyog closes down. There may be situations where SQLyog is killed 'ungraciously' where the file is not deleted. Then next time the file name will be .001. The file is without any importance. You can delete it.