Yubikey 4 and newer supports 4096 bit keys with PGP:
https://www.yubico.com/products/compare-yubikey-4-neo/
https://www.yubico.com/products/compare-yubikey-5-series/
Recent versions also have support for plenty of ECC algorithms, see https://www.yubico.com/blog/whats-new-in-yubikey-firmware-5-...