If your dog isn’t used to being picked up a yelp may be a small objection to being handled. It is likely to be this if you have never picked up your dog before. You need to make sure you’re picking your dog up correctly to make sure they feel safe. Read here for more information on how to correctly pick up your dog.
A Dogue De Bordeaux having a cuddle from its owner
However it is more likely that your dog is in pain. If you suspect your dog is in pain you should contact your vet as it could be a serious medical issue.