Same here. I read somewhere else that
she can be kidnapped by Orin instead of a party member, but in my case Orrin kidnapped Lae'zel. Yenna disappeared some time after Laezel did, but now I've rescued Laezel and killed Orrin, and
Yenna is still gone.

I also read there's some thing where
some party members think she's really Orrin's spy in your camp or something, but even though I was told at some point that Orrin may have a spy in my camp
that response by my other camp members never triggered. Maybe I wasn't in camp at the right time or something. Her cat Grub is still in camp, and if I speak to animals he simply says, "Don't look at me," but no explanation of where Yenna has gone.