Having a micro-SD slot on a yubikey would probably make my day! In fact, I would prefer that to any amount of integrated memory. Though I suppose cost/design/BOM-wise having a slot+controller is not much different than adding a few gigs of flash to a yubikey...
I'm thinking of using a small embedded board with OTG/HID functionality. Obviously, it's even more awkward to carry a custom soapbox plus a cable than taking a usb-cable, hub, memory AND a yubikey for a trip, but also much more powerful - it could even be actually keeping the passwords, not just storing them.
The boards that could make this work are the Beaglebone, the Raspberry PI or even a Kwikstik - the embedded future is interesting again