Under umbrella term: "spotlight suggestions" some features like weather, flights, internet search results' preloading etc., might need Spotlight to connect to Yahoo. But the following sources suggest that it happens after the data is sent to Apple.
To make suggestions and search results more relevant, some information
is sent to Apple and not associated with you
In some cases, such as when you use Siri Suggestions in Spotlight,
Look Up or Safari, generalised topics of interest that Siri has
learned may be sent to Apple to make your searches more relevant.
From: In-app disclaimer in System Preferences.
Since the release of Yosemite, Spotlight sends all
entered queries and location information to Apple by
Apple's support page informs users who want to opt out of Spotlight
Suggestions, Bing or Location Services for Spotlight to go to their Mac's
System Preferences and deselect the corresponding checkboxes.