For those of you unfamiliar with Yon-Rogg, in the comics, he is a Kree military commander who became jealous of his subordinate, Mar-Vell, when the woman he loved, Una, became enamored with Mar-Vell instead. Yon-Rogg subsequently abandoned Mar-Vell on Earth and tried to have him killed, which kicked off their antagonistic relationship. Yon-Rogg was also indirectly responsible for the accident that gave Carol Danvers her powers. So like Jonathan Schwartz noted, he’s an important part of the Ms. Marvel/Captain Marvel mythology, hence why it was so plausible he could show up in her movie.
Article source: https://www.cinemablend.com/news/2465008/captain-marvel-producer-confirms-an-important-character-appearance