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To answer your top question you need to add it to either the global rosdep database or add your own rosdep.yaml files to your sources.list if it's not appropriate for global listing or you want to test it locally.

There's documentation about how to contribute a rosdep key

However from the case that you point to your assumption is incorrect that pyyaml is not in the database, it is already available.

See the keys: https://index.ros.org/d/python-yaml/ and https://index.ros.org/d/python3-yaml/