The Sailor Star Yell was an item that only appeared in the anime, and was used by the Sailor Starlights.
Each of the three had one, and they were all identical in appearance. They also used them for performing attacks. The Sailor Starlights at first performed their attacks without using the Sailor Star Yell and then later with them; as the anime gave no background for these items, their exact role is unknown.
In episode 199, Sailor Galaxia destroyed Sailor Star Fighter's Sailor Star Yell by crushing it with her foot.