It's not even Western, from my experience it's just the US. In Australia, I don't think I'd ever seen a yellow pencil, other than one that came in a set of coloured pencils for art. I hadn't realised it was the norm in the US until relatively recently.
We have these, just for example:
https://www.faber-castell.com/products/GraphitepencilGoldfab...
https://www.staedtler.com.au/en/products/pencils-accessories...