After contacting Yandex support team, I was informed that feature like this can be added by the developer of Yeelight skill for Alice( https://dialogs.yandex.ru/store/skills/3b0f953d-yeelight ).
Researching this topic I found out that the command is present in control protocol for 3rd party devices in set_power method, so it shouldn’t be too difficult to include it in Yandex Alice skill to add a feature that will make user experience much better.
As far as I understand, Google Assistant integration works in a similar way, so expanding it’s functionality will be much appreciated by Google Home users too.
Regards.