Rav Moshe did not listen to Yanni, though. Yanni is “New Age”, not Classical. Although both are (mostly) instrumental, there is a big difference between the two.
This has been discussed before in a thread about non-Jewish music, IIRC, but music is an expression of the singer’s neshama and it goes straight to the listener’s neshama. From what I’ve heard, and with all due respect to this artist, a frum Jew should not have any soul-to-soul connection with Yanni’s soul.
I do understand that Mozart, Bach, et al. were not tzadikei yesodei olam either, but if classical is good enough for Rav Moshe then I can certainly understand that. But not to extrapolate that to therefore cover any instrumental music. No.
Given the terrible general yeridas hadoros among the umos, particularly in the past 60 years or so, it is especially unwise to listen to non-Jewish music made during this time, and only worse so the more recent it is.