You cannot replace modules just like that, the script you are referring to works with the oauth2 library, which is different from GAE OAuth API (that's why you were getting the 'module' object has no attribute 'Consumer').
As explained in the README of the yelp-api, first you need to install the oauth2 module. Note that you need to copy the installed module (or source) to your GAE project in order to upload it to GAE when deploying.