Whenever you take something out of the game entirely, FFG (or at least, in the Arkham games) tends to say 'return it to the box'. I'm sure the mythos card you refer to means discard 'back to the bottom of the deck', and wouldn't apply to Yog's ability.
On the other hand, I have yet to play any game of ES (and I'd guess I've played around 60 or 70) or Omens (played 200-250) where I've ever gotten more than 6 Other Worlds in play in a single game (never mind failing all of them), so the odds of ever awakening Yog through his slumbering ability seem to be nil. He could use a redesign- the least effective slumbering ability of all of the AOs, IMHO. You could certainly play that particular mythos card so that the OWs go back to the box to up the ante with Yog, but he needs something else to pose any real threat in that regard. At the very least, I think you ought to gain a doom (or 2) for failing an OW adventure, in addition to taking the OW out of play entirely.