… being キムヨナ in katakana.
It’s a deliberate attempt to piss off a great sporting foe by misspelling her name.
As is often the case with foreign pronunciations, the Japanese are ahead of English speakers on this one. According to modern romanization of hangeul (Korean script), her name would be spelt Kim Yeona, being the same sound as Seoul and somewhere between the O of hope and the ER of computer. Given its indeterminate pronunciation in English, that vowel sound is fairly often spelt with a U in Korean names, e.g. in the famous company Samsung, which should actually be Samseong. Confusingly, there are two other vowel sounds in Korean that are also often romanized as U, but that’s a whole other story…
With names, Koreans choose and stick to one particular romanization, which I think might even be something official nowadays. At least this one is fairly close to the real pronunciation, unlike Lee, which is also sometimes spelt Yi, but is actually somewhere between the vowel sounds in sEE and lIck.