If you set up groups in Alexa it will work just fine.
I have a group called "Kitchen" and "Alexa turn on the Kitchen Lights" all the lights come on. While "Alexa turn on Kitchen Lamp" will only turn on the lamp.
I also have a group called "Light" and "Lights" for good measure which means "Alexa lights on" turns on everything. As does, "Alexa let there be light"
You can also set up routines so that any phrase will turn on whatever combination of lights you want. I don't think this is a Yeelight issue, you need to research how to set up the lights within the Alexa app and make them work for you. It's currently much more flexible, if maybe slightly less intelligent, than Google.
If you want to use the specific phrase "turn off all the lights" you will need to set it up as a routine, or set up a group called "all the lights".