I mean, unless your service lets you pick individually that usually means turning on SMS. That's probably why they have a general policy, it's a pain in the ass to manage multiples.
It seems something changed on MS end though because I have control of what MFA i use on our corporate acxount, which was setup with Yubikey, until about a month ago when this Use Your Outlook Mobile started on it's own
Whatever it is, somebody at Microsoft made a mistake; it should not prompt you for Outlook Mobile Auth code when that is the actual app you are trying to sign in to, and have no way of retrieving that code. it should have review MS app and if it is Outlook Mobile then move to the next MFA option in your security list.
In this meme yeah, in my account I get the "try another way" link to let me go back to Yubikey auth option. But it shouldn't default to Outlook auth if your are trying to sign in to Outlook, that is just lack of forethought