Well, in the scene the 'Yes' was the last choice to light up yellow, and if you go from a Japanese PSP's standard, he was hitting the confirm button there. So it's safe to assume he
did go for 'Yes'. However it's still ambiguous enough to say otherwise. Though looking at the situation and Keima's nature it's still reasonable to hit 'Yes' anyway, including for capturing the 2D girl at that time so it makes more sense in the end.
P.S.: Taking another look at that ingame girl, she looks like a mix between Shiori (hair style) and Suzumiya Haruhi (the ribbons being yellow, the hair color and eye color brown, and the school uniform also having similarities).
