Apple recommends you select Don't Allow since that will block this attempt.
The bottom of the page linked above has steps to take (like change your password) if you think the alert is not correct or a result of your actions.
Next, you should check that the email / alert you see is indeed legitimate (i.e. actually sent by Apple's servers). It is common place to receive emails like this that are actually fake.
In any case, there's no need or obligation for you to report this to Apple or Yahoo. It is not an indication that your or their systems have been hacked.
In case of US State / Federal reporting, unless you're employed by these entities and have specifically been bound to report this (very likely you have not), then there's not need to report it to them either.