I move my unit into a bf with my opponent's Fiora Peerless and they have a buff putting them at 4 might. If I play an ambush unit after, would they double the +2 from Yi Legend before my unit is there?

Yes, Fiora, Peerless will still double her Might if you play an Ambush unit to the battlefield after she has been designated as the lone defender.

According to RiftJudge FAQs (e.g., #11172, #11168, #11396), the "one-on-one" condition for Fiora, Peerless is checked only at the exact moment she is designated as the attacker or defender. Once that condition is met and her triggered ability is placed on the initial chain, her doubling effect is locked in.

The Sequence of Events

1. Passive Application: As soon as Fiora is designated as the lone defender, the passive ability from Master Yi, Wuju Bladesman immediately applies, increasing her current Might (e.g., 4 base + 2 passive = 6 Might).
2. Initial Chain: Fiora's "When I defend" trigger is placed on the initial chain.
3. Reaction: You play your unit with Ambush as a reaction. The game state is now Closed, so this unit is added to the chain above Fiora's trigger.
4. Resolution (LIFO):
   • Your Ambush unit enters the battlefield.
   • The moment your unit enters, Fiora is no longer alone, and the +2 Might passive from Master Yi is removed (per FAQ #11133).
   • Fiora's doubling trigger resolves. It doubles her current Might at the moment of resolution. Because the passive has been removed, her Might is 4, which doubles to 8.
5. Post-Resolution: After the trigger resolves, that doubled Might remains for the duration of the combat.

Summary

Because Fiora's ability is a triggered ability that checks its condition at the start of combat, playing an Ambush unit does not cancel the trigger. While your unit's entry will cause Master Yi's passive bonus to "fall off" Fiora immediately, Fiora's trigger will still resolve and double whatever Might she has at that moment.

Note: I could not fully verify this ruling against the retrieved rules.