The 15-year-old, who is still at school, secured a shock 4-2 win in Coventry over the 2005 world champion, 2015 Masters winner and current world finalist.
Yan told reporters after his victory: "I am delighted to have won. Shaun is a tough opponent so I had nothing to lose and that took the pressure off.
"I loved the atmosphere and I was proud of the reception I got. It was my first match in the UK and I really enjoyed it."
Yan, who had a top break of 74 against the world number four, went on to lose 6-3 against Australian Neil Robertson later on Thursday.