OpenBSD, in a non-default configuration where S/Key or YubiKey authentication is enabled, allows local users to become root by leveraging membership in the auth group. This occurs because root's file can be written to /etc/skey or /var/db/yubikey, and need not be owned by root.
The file `$HOME/.config/Yubico/u2f_keys` is blindly followed by the PAM module. It can be a symlink pointing to an arbitrary file. The PAM module only rejects non-regular files and files owned by other users than root or the to-be-authenticated user. Even these checks are only made after open()'ing the file, which may already trigger certain logic in the kernel that is otherwise not reachable to regular users.
If the `debug` and `debug_file` options are set then the opened debug file will be inherited to the successfully authenticated user's process. Therefore this user can write further information to it, possibly filling up a privileged file system or manipulating the information found in the debug file.