At 5 under, they share the lead, but Yang will be looking to separate herself early Friday morning.
While Choi finished with a 5-under-par 66, Yang was in the 18th fairway when rain halted play at 8:01 p.m. ET.
Yang is among 30 players who will have to return at 7:45 a.m. ET Friday to finish their rounds. The second round will actually begin before the first round is finished, with second-round play beginning at 7:30 a.m ET.
Yang and Choi hold a one-shot lead on Brittany Altomare and Joanna Klatten, who has two holes to finish.
Defending champion Brooke Henderson and Michelle Wie are among six players two shots back.
Olympia Fields played tough with winds coming up early. World No. 2 Ariya Jutanugarn struggled to a 76.