Solution:
Yes, it’s quite doable. Read my article about it here: http://www.yiiframework.com/wiki/322/integrating-wordpress-and-yii-still-another-approach-using-yii-as-the-router-controller/
Note: it isn’t that straightforward, so if you are new to Yii it may get complicated fast. But feel free to ask on the forums and we’ll see if we can get you going.
I’m also going to put up a base Yii/Wordpress setup on Github at some point. If you subscribe to that article, you should get a notice when I do.
Edit: GitHub repo here: https://github.com/acorncom/yii-wordpress-integration