Difference between simple wifi transceiver and arduino yun
The nRF24L01+ modules aren't WiFi. They cannot talk to a WiFi router or the internet. They can only talk to other nRF24L01+ modules. They are good for connecting two or more UNOs together.

The Yún has a full WiFi connection and is also able to operate as a router itself. It is best suited when you need to run complex networking on an Arduino.  To access the WiFi on the Yún you need to communicate with it over the in-built serial connection. There are libraries to help you, but the overall package is really very much overkill unless you have a requirement to do complex network routing (VPN for instance) or run software (say a Python program) directly on the Linux portion of the device.

It sounds like what you are really after for your project is an Arduino UNO and WiFi shield.

Another popular option is the ESP8266 modules.  These can be controlled through serial using AT commands, or directly programmed using the Arduino-compatible core available from https://github.com/esp8266/Arduino