Home Assistant Yellow use built in Zigbee or keep Sonoff Dongle

I would suggest keep using your existing Sonoff ZBDongle-P as a dedicated Zigbee Coordinator because CC2652P based dongles are recommended for Zigbee2MQTT, see → Zigbee buyer's guide

And then just use the Home Assistant Yellow onboard EFR32MG21 radio as dedicated Thread Border Router (with multiprotocol support disabled and flashed with OpenThread RCP firmware), see → Documentation – Home Assistant Yellow