I've always been told it's just excess of the one or two of the B vitamins that are yellow in color. Look at the capsule/tablet, it is yellow inside.
On a separate subject, whether or not the pee becomes yellow, b vitamins can be used by yeast/candida living in your body. So, taking b vitamins does unfortunately help the candida somewhat to thrive.
My answer has been to use B vitamins topically (mix with drops of water and rub onto skin). I read a study somewhere showing that they do get into the blood this way. This bypasses the digestive system.