Using your own, fully-customized category scheme is a great way to personalize your budget, as @Brad.warren notes…
That said, you can pull in Yodlee’s category data by adding a column called Category Hint to your Transaction sheet. The Tiller Money Feeds add-on will fill all recognized column headers for all future transactions.
You may need to make a formula to pipe the Category Hint into your Category column for budgeting. An ARRAYFORMULA() in the header may be a good place to start.
(Not many people do this, so your mileage may vary.)
We try to keep this reference up to date. You can see that there are some other non-standard columns that will fill if inserted.
Let us know how it goes.