I just looked at the specs and manual for the YPG-625 and I don't see any connectivity that would allow you to record the audio. The USB port is for transferring MIDI files to and from the keyboard. This can also be done using the MIDI barrel connectors. With that board, you'd only be able to do external recording with the MIDI data. You would do it using the MIDI jacks to connect to the VS-880 or the other recorder you mentioned, but that would be no different than recording to the board's internal flash or to an external devices via USB; no advantage.
The second option would be to buy a microphone or two and record the keyboard with the VS-880. Too laborious for such a board unless you just want to mess around. If so, pick up a couple of Shure SM-58s or SM-57s.
The real problem is that the Yammy keyboard isn't a pro-style board. It's a high-end, portable, digital piano. To record audio direct (no mics), you'd need a more professional style board like a synth.