A GPG key is an identifier that you create to identify you, and it is represented by a keypair - a public and a private key, which allow you to sign a message (or a commit, in this context). I generated a keypair, added the public key to GitHub, and then was using GPG on Windows to sign all my Git commits. There are two ways in which you can go about the task at hand - either by generating the GPG keypair and then importing the data onto the YubiKey, or by generating the key directly on the YubiKey.