Other than the use of the Yaka Arrow (more discussion on that at What is the weapon that Yondu wields in Guardians of the Galaxy), I don't remember the movie making even an oblique reference to Yondu's planet or species.

According to the comics, Yondu is a native of the Earth colony world Centuri-IV:

As James Sheridan points out in comments, it's clear at least that Yondu isn't from an Earth colony world in the MCU. However, that doesn't preclude the possibility that he's still Centaurian, and Centauri-IV just has a different history in the MCU.

Some justification comes from Agents of SHIELD season 1 episode 15, "Yes Men." Prompted by Agent Coulson, Lady Sif gives a partial list of blue-skinned aliens, including the Centaurians. It's not proof that Yondu is one, but itat least shows that Centaurians exist in the MCU: