I'm used to hearing the term since I'm from the South (US) and that's what a lot of people call those from up North.
When I came to NC for college, I spoke about half a sentence before two girls started chuckling to themselves and blurted "OMG, She's a yankee!" Coming from NJ, I never thought that there was anything strange about being from the north, but apparently there was! It made me feel slightly uncomfortable, because this was the first time I'd been called a yankee.....and laughed at because of my accent!
In the UK, the only people who call me a Yank are my DB's best friends (And perhaps the random people in stores when I ask about which item is the "brand-name"/"what works just the same?" behind my back!) His friends all do it in jest, and then say "wait, so is that considered derogatory?" I still haven't quite figured out whether it is or not, but I can't be bothered to worry about it..
I mean, apparently I am a "Yankee" (whatever that means) anyway!