For Yankee Stadium, the closest, nicest and easiest to reach place to RV in is Westchester county, IMO. This park is about 30 to 45 minutes away from the stadium via a commuter train, the Metro North Croton-Harmon station of the Hudson Line. Oh and you'll have a gorgeous view of the Hudson River should you opt to leave your vehicle at the campsite.
Here's the info for the park and they have a limited amt of year round RV sites:
Croton Point ParkThere is also the well known Liberty RV Park across the river in NJ but it really isn't as convenient for any of the ball parks.
Not sure about connections to the place I know as Shea Stadium but in all probability with additional use of public transportation options (the subway) you can get there from Croton Point.
HTH