This is a bug because according to http://blog.yourls.org/2013/01/its-alpha-but-its-stable-for-now/, it might have been working in 2013.
If this is NOT part of the scope of YOURLS, I apologize for posting here, but my understanding was it would work.
Whitelist tel: protocol
It should have worked, indeed. For some reason I forgot this protocol in the list of allowed stuff from the box. I've just pushed a change to fix it, available in current master.zip
If for some reason you don't want to update to latest master, you can also make a very simple plugin like this one: https://github.com/YOURLS/custom-protocol
Thank you, that was perfect.