merge yahoo calendar with iphone calendar

I don't know how you would add the events to iCloud, but you can add the Yahoo calendar to your phone by doing the following (from http://help.yahoo.com/kb/index?locale=en_US&y=PROD_ACCT&page=content&id=SLN4922) :

Syncing your Yahoo! Calendar using CalDav

1. Tap the Settings icon on your device's Home screen.
2. Tap Mail, Contacts, Calendars.
3. Tap Add Account.
4. Tap Other.
5. Under "Calendars," tap Add CalDAV Account.
6. Enter your:
   
   • Server (https://caldav.calendar.yahoo.com)
   • Yahoo! ID
   • Password
   • Account description
7. Tap Next to complete set up.

Your Yahoo calendar will then appear in the Calendars app alongside any iCloud calendars you may have. To choose which calendar new events are added to by default, go to Settings>Mail,Contacts,Calendars>Default Calendar and select the one you want as your default.