I think I may have figured this out. I am using a wildcard realm pattern., e.g., <https://*.example.com/>,
whereas my return_to url is more like <https://zzz.example.com/openid-return/>.
Since my return_to URL *matches* the realm, I thought it would try to find my XRDS document
by using the return_to url. However I guess that Yahoo! is instead looking for it on
<https://www.example.com/> (which is a different server, run by the "Marketing" folks so
there is no way to get anything even slightly technical on it, much less an XRDS
document, or link to one).
After carefully re-reading the OpenID 2.0 spec, there is a small little sentence in section 9.2.1
which points this out. So I need to find some other way to do this, if it is even possible.