Yun had a yellow/gold saber. It wasn't orange. Regardless, I had always assumed that he used Yun's saber in MotS... Ah well..
Here's what I think: Kyle still used Yun's saber in MotS, despite the slight change in color. In-between the events of JK and JKII, Kyle seems to have been doing nothing but making a living and running jobs for the New Republic. Building a lightsaber takes dedication and time, two of something I don't think Kyle really had at the time. Especially after his touch to the dark side in JK's events, I think he's tried to concentrate more of his time elsewhere rather than cultivate his Jedi abilities (at the risk of failing).
But as a precaution, he probably kept Yun's saber handy as a rememberence of sorts for the Jedi who gave his life to save his.
And of course when Mara entered the picture, she was a half-assed Jedi the same as Kyle; and she didn't want to rehash her dark endeavors again, either. Very common ground. But what's natural for two half-assed Jedi to do? Give each other some tips and tricks. And ice-breaker. And for all we know, Mara could have helped Kyle repair Yun's saber after some kind of malfunction or jewel short (hence the color change). After all, she's no stranger to lightsabers and their maintainence (and this is where I say that the MotS broke continuity by giving Mara a purple saber instead of blue, as she uses Luke's father's saber, not her own.....).
After the events of MotS, I'd still have liked if Kyle used Yun's saber just as an added link to the past games. But the writer for JO said that they had to use blue for "Georgian Continuity" (that's my term for what Georgie boy says is SW movie canon, not EU). The good Jedi always use blue/green, the dark use red. So Kyle has to have a blue saber for story purposes, one way or another.
So there are a couple of things that could have happened here. One, Kyle destroyed Yun's saber after his harrowing scuffle with the dark side in MotS, using a Sith saber in its place. Or, to put things right, he returned Yun's saber to it's rightful place as a memorial for Yun (probably at the Vally of the Jedi at or near the carving).
In any case, he did what Mara couldn't pull herself to do and went to Luke for guidance so that he wouldn't fall to the dark side again. He went through the riggors of training, putting all of his personal affairs on hold. He built a lightsaber, learned to channel in the good, and not the bad... But he obviously gave it up, either because he didn't want to chance falling back to the dark side, or he just plain needed to go out and make a living (he never seemed like the kind of guy who could settle down and be a student...) So he gave Luke the saber and went on his marry way, fooling himself into thinking he could just forget about his past and his inherent abilities with the Force.
And then Jan is "murdered" (*wink*wink*) and he runs back to Luke for his saber to exact revenge. You all know the story.
Anyway, that's my take on this. But me not being a total stickler for continuity, I changed both JO and JA to have Kyle using a golden lightsaber (Yun's) despite the likelihood of him having built another. Hey, if Mara can kick arse with Anakin's saber, why can't Kyle do the same with Yun's? Now if only I could find Yun's actual hilt to put into the game, I'd be set with that...