At this time, the Microsoft Multi-Factor authentication system is not configured to allow your first device enrolled to be a YubiKey security Key. You can use a YubiKey as your primary authentication method, but you will need to enroll a landline or cellular number prior to being able to enroll a security key. If you do not wish to retain the telephone number as an authentication method, it can easily be deleted once the YubiKey has been enrolled.

To initially enroll a telephone number, you can follow these instructions:

Once a telephone number has been initially enrolled, you can follow these instructions to enroll a YubiKey.