I was always told by biology teachers and such, from junior highschool up to college professors that yawning is stimulated by a decrease in oxygen in the brain. A decrease in oxygen can be related to a number of things, one being exercise (which will reduce overall body oxygenation), another being concentration (certain areas of your brain can locally reduce its oxygen levels by working more than normal, likely when you shift from using one area of your brain to another), another is tiredness due to reduced respiration and heart rates, and finally by waking up as your body tries to increase its oxygenation levels to cope with rapidly increasing demands (this can be effected by what state of sleep you're in: light, deep or REM; typically deep sleep would cause the most yawning when being woken up from).

I'd certainly believe you could induce yawning from anaerobic exercise. If it was induced by aerobic exercise, I'd say you're not doing the exercise properly!