I don't think it makes sense at all to rely on a service like Yubikey for this. (Emphasis on *service*) If this were a standalone product then that'd be a different story.
I've seen some pretty slick setup processes that use Bluetooth or a direct Wifi connection to the device to get them online. I think the latest one I used was the Samsung SmartCam. To configure it, you first turn it on and it creates a wifi hotspot. You connect your phone or computer to its network (the default password was listed on the bottom, unique to the device) and then you can use the app or web page to configure it.
The nice thing about this method is it doesn't require a cloud service to bootstrap, and doesn't rely on a shared default password. If the device includes a "factory reset" button, then there would always be a way to return it to the original password that is printed on the device.