I don't use Yahoo mail, so I'm not sure why you don't return to the last used folder when adding additional attachments as I do with Outlook webmail and Cox webmail.
However, almost all of the webmail browser interfaces I have used will at least let you select multiple files from a folder by holding down the Control key and clicking each file you want to attach.
While not solving your problem (which is all the more puzzling since you say you return to last folder used on a new email), maybe that will at least make it a bit less frustrating for you.
Steve