From what I can tell, you have to request each date individually. The other API formats take multiple requests by using a comma as a separator (e.g. team_keys=league_id.t.1,league_id.t.2,league_id.t.3). When I test passing multiple dates, I do not get a bad request, just that Yahoo returns only the first date.
I have tried several different formats, but can only get data back from one.
It would be nice if they updated the API information with this, as well as include that the date format is YYYY-MM-DD.