I think he may have alpha dog mentality and that his territory is being taken over. Make sure to let him know that certain stuff is his, like certain toys and his food and water dish or bowl. Also, if you can try to get him to learn that the new addition to the family is a playmate, he may warm up to her. Try letting them play tug-of-war with a sock or a toy if possible. I've heard of many cases in which one Yorkie isn't too happy about another Yorkie in the household, but I think in most cases they grow into it and start to appreciate the company.
