May be I should change my Locale from Ukraine to UK or German?
After adding the YL to alexa you need to disable it and then enable it again. You do this inside the skill, in alexa under home automation click on Yeelight. It opens the Yeelight Skill page. There you find in the upper right corner the disable button. If you press disable in the Home Automation main screen it will deinstall the skill. Disable/Enable forces the skill to relogin to your Xioami acount. After that discovery will find your Yeelights.