What could cause the water from melting snow off a roof to be yellow?
There are lots of things that can cause yellow, discounting flying dogs and squirrel infestations.

Are there a lot of trees around?  Leaves may have collected in your eaves trough, or in other places on your roof, and seeped in enough water to cause discoloration.  It could also be something else on the roof - as Eric mentioned, soot is a possibility, though I don't think that would be yellow.  Are there any mines, paper mills, power plants or other sources of airborne contaminants nearby?