It is written in what is called the USB String Descriptor. I don't have my Yun to hand right now (it's acting as a wireless bridge temporarily), but all USB devices have these USB String Descriptors. Here's an example for the Leonardo (which you can easily inspect on Linux):
$ sudo lsusb -v -d 2341:0036
Bus 001 Device 015: ID 2341:0036 Arduino SA
bDeviceClass 2 Communications
idVendor 0x2341 Arduino SA
iManufacturer 2 Arduino LLC <<== String descriptor ID 2
iProduct 1 Arduino Leonardo <<== String descriptor ID 1
... etc ...
Internally the strings are stored as an indexed table - there's two there, ID 1 and ID 2. The Device Descriptor then has a couple of bytes in it that says "The manufacturer is string ID 2, and the product name is string ID 1". The operating system then requests those string descriptors so it can display the friendly message for you.
If you want to change that name you basically have to both re-program the bootloader (which has the USB descriptors when in program upload mode) and the Arduino core (that has the string descriptors programmed into it).