If I'm playing with the Yi legend (Proving Grounds) and I'm controlling a Battlefield, my opponent enters and my unit defends alone, he plays spells so in reaction I react with a Nidalee to defend, my unit still having the +2 of the alone?

No, your unit loses the +2 Might bonus the moment Nidalee, Cat Form enters the battlefield.

According to RiftJudge FAQ #10141, the bonus provided by Wuju Bladesman, Starter (Master Yi) is a continuous passive effect that relies on the condition: "While a friendly unit defends alone." This condition is checked constantly by the game state.

Why this happens:

1. Passive vs. Triggered: Master Yi’s bonus is a continuous passive ability. It does not use the chain and does not require a trigger to activate or deactivate.
2. State Check: Because it is a "while" condition, it updates instantaneously whenever the board state changes.
3. Result: When you play Nidalee, Cat Form as a reaction to your opponent's spells, she enters the battlefield. At that exact moment, your original unit is no longer "alone" (as defined by Rule 741.1). Consequently, the +2 Might bonus is removed immediately.

This interpretation is based on the continuous nature of the ability as confirmed in RiftJudge FAQ #3935 and FAQ #10141.