Interesting! I've never considered the term "Yankee" to be pejorative!
To me it just means someone who lives in the North as opposed to the deep South. If someone were to refer to me as a Yankee, I would not be offended. However, if I lived in the South and someone were to refer to me as a Redneck, I'm pretty sure I would.
IME, any word can be used as a pejorative if used with enough hostility. One of my former bosses used to like to say, "I hate, loathe, and despise all academics," to me. (Note: I *am* an academic.)
After that, it was clear that, for a certain group in the organization "academic" was a pejorative word for a certain class of people. Said group rather unfortunately included the Board of Trustees.
To keep this on topic, said boss was incredibly snowflakey for expecting the support and agreement of the academic part of the institution after publicly dissing us whenever possible, among other things.