FWIW, I asked this question in an email to the Yale admissions office. An undergraduate student worker in the office replied that because the Yale application asks if grandparents attended for either undergrad or grad school, it means the admissions office does take such a relationship into consideration - if it did not, then they wouldn’t include the question. She did not offer any other information, so the least possible consideration might be given to such relationships, but there is at least a consideration.