yoast-seo-subdomain-sitemap-include.php

<?php 

add_filter('wpseo_sitemap_index', 'add_subdomains_to_sitemap' ); // add link to custom sitemap
    
    /**
     * Add the link to the main sitemap index
     * @param  string $content Existing sitemap content.
     * @return string          Sitemap with extra content.
     */
    function add_subdomains_to_sitemap( $content = '' ) {
        $sites = array(
            'http://1.example.com/sitemap_index.xml',
            'http://2.example.com/sitemap_index.xml',
            'http://3.example.com/sitemap_index.xml',
        );
        foreach($sites as $site) {
            $content .= '<sitemap>' . "\n";
            $content .= '    <loc>' .  $site . '</loc>' . "\n";
            $content .= '    <lastmod>'.date('c').'</lastmod>' . "\n";
            $content .= '</sitemap>' . "\n";
        }
        return $content;
    }