This is the new behaviour in Yosemite and it can't easily be changed. The menu bar format now doesn't read your custom format and instead displays a barely customizable format instead. The only available options for it can be found in
System Preferences ->
Date & Time ->
One thing you could do is use a third party utility like
Day-O, which is free and does exactly what you seek ->
If you want things more natively, you could try editing the corresponding
plist file directly (
com.apple.menuextra.clock). I haven't however had much luck with it.
Terminal and type the following:
Reading the current settings:
defaults read com.apple.menuextra.clock
defaults write com.apple.menuextra.clock "DateFormat" 'EEE hh:mm a'
Or 24 hours format with the (day of the) month and seconds:
defaults write com.apple.menuextra.clock "DateFormat" 'EEE d MMM HH:mm:ss'
Then refresh the menu bar using:
killall -KILL SystemUIServer
w you should be able to add week number, but I haven't had any luck with that and it keeps resetting the week number.