Yellow has an M.2 M-Key connector which supports NVMe SSDs with M-Keying and length of 2230, 2242, 2260, or 2280.
The Raspberry Pi CM4 has a single lane PCIe 2.0 (Gen 2.0 x1). PCIe is backwards compatible. NVMe SSDs supporting a newer generation of PCIe or more, supporting multiple lanes, should generally work (e.g. Samsung 970 EVO Plus MZ-V7S500BW with a PCIe Gen 3.0 x4 interface is known to work). A high-end NVMe is not required, since the CM4 PCIe interface is only Gen 2.0 x1. A low-cost NVMe is typically good enough.
Check the list of models which have been reported to NOT work currently.