Yama's wife is mentioned in various Puranas and in the Mahabharata. Now I do not know if Yama had one wife or multiple wives as each Purana ascribes a different name.
Mahabharata Udyoga Parva Ch 117 gives the name of Yama's wife as Urmila.
Vishnu Purana Book 1 Chapter 8 lists Yama's wife as Dhumorna. (while establishing the relation between Vishnu and Lakshmi.)
Vishnudharmottara Part 3 Chapter 51says the same.
1 "Yama should have the complexion of a dark rain cloud; his garment should be like heated gold; he should be represented on a buffalo with all kinds of ornaments.
2 Dhumorna (Shroud-of-Smoke) should have the colour of a dark blue lotus; one should represent her sitting on the left haunch (of Yama).Dhumorna should be made with two arms, but Yama with four.
Garuda Purana Part 3(Moksa Khanda) Chapter 5(pg 36) lists his wife as Syamala.
The book Hindu Mythology, Vedic and Puranic by W.J. Wilkins in it's section on Yama gives an account of his wife named Vijaya who is a human woman. This story is ascribed to Bhavishya Purana.
In the "Bhavishya Purna" the following legend of Yama's marriage is found. He was exceedingly pleased with a girl named Vijaya, a Brhman's daughter.
When first she saw him she was greatly alarmed, alike at his appearance and on learning who he was. At length he allayed her fears; and, although her brother tried to dissuade her, she consented to become his wife. On her arrival at Yama's abode, he particularly cautioned her against going into the southern quarter of his kingdom.
After a time, thinking he must have another wife there, her curiosity overpowered her, and going into the forbidden region, she was greatly distressed, as she saw the wicked in torment: Amongst other sufferers was her own mother. Meeting Yama there, she tried to obtain her release.
Yama declared that this could not be granted unless some one then living on earth would perform a certain sacrifice, and transfer the merit of the act to the poor woman then suffering. After some difficulty, one was found willing to perform this act of kindness, and Yama's mother-in-law obtained release.