Is there a way to set the regulatory domain in Yocto?

Answer

The Yocto layer includes a mechanism to configure the regulatory domain using the module parameter
mechanism.

LWB_REGDOMAIN variable needs to be set iny out local.conf file:
LWB_REGDOMAIN = "US"

This will create a brcmfmac.conf file in /etc/modprobe.d containing the specified
country code in the regdomain module parameter.