While it has a rifle and shotgun option, his BS9 means they're going to be inconsistent. The Chain Rifle is the star profile here because of how cheap it is and because you're able to drop consistent templates in both the active and reactive turns. CC options are decent, but are more of an opportunity when you have a spare point or two in your list, rather than something to build the list around.
The chain rifle also works well with its advance deployment options.
Yuan Yuans have no armor, no BTS, and WILL come onto the board. Cover the usual entry vectors with ARO pieces and protect the flanks of your deployment zone. If the opposing player is forced to use a combat drop to try and get the Yuan Yuan into a better position, you've already done a good job countering it.
Active Turn Role
The Yuan Yuan is a dirt cheap harassment unit that has a 'free' advance deployment because of its extreme impetuous order. While it CAN combat jump, the PH-3 roll means there's a high chance of dispersion. Because of its weak defensive abilities, the Yuan Yuan is better off walking onto the side of the board in a hidden position, then using smoke to protect a model's advance (either its own, or a friendly unit). While it has a couple good CC choices (shock and DA), these should be considered backup options or 'fun' engagement options instead. CC19 isn't bad, but the chain rifle as an ARO option is a better and more dangerous threat.
In an ideal state, use the Yuan Yuan as a guided chain rifle missile aimed at your enemy's deployment zone; or as a forward-deploying smoke platform.