The difference between yellow (elevated) and orange (high) is the difference between a significant risk and a high risk.
Per Merriam-Webster:
Significant means meaningful.
High means elevated.
Therefore yellow means orange.
Elevated Condition (Yellow). An Elevated Condition is declared when there is a significant risk of terrorist attacks. In addition to the Protective Measures taken in the previous Threat Conditions, Federal departments and agencies should consider the following general measures in addition to the Protective Measures that they will develop and implement:
Increasing surveillance of critical locations;
Coordinating emergency plans as appropriate with nearby jurisdictions;
Assessing whether the precise characteristics of the threat require the further refinement of preplanned Protective Measures; and
Implementing, as appropriate, contingency and emergency response plans.
High Condition (Orange). A High Condition is declared when there is a high risk of terrorist attacks. In addition to the Protective Measures taken in the previous Threat Conditions, Federal departments and agencies should consider the following general measures in addition to the agency-specific Protective Measures that they will develop and implement:
Coordinating necessary security efforts with Federal, State, and local law enforcement agencies or any National Guard or other appropriate armed forces organizations;
Taking additional precautions at public events and possibly considering alternative venues or even cancellation;
Preparing to execute contingency procedures, such as moving to an alternate site or dispersing their workforce; and
Restricting threatened facility access to essential personnel only.
http://www.whitehouse.gov/news/releases/2002/03/20020312-5.html