In Persona 2 Nyarlathotep, who is a personification of the dark side of the human collective unconscious, uses shadow doubles of your party, and they have all yellow/orange eyes. While Igor and all the other denizens of the Velvet Room are servants of Philemon, who is the light side. Since Margaret and Elizabeth are assistants to Igor, that also makes them servants of Philemon. So I guess, since all of them are formed from our collective unconscious, maybe that's what the yellow eyes mean?