The Yoshi message being played isn't dependant on level, but rather on overworld position: it only plays if you encounter Yoshi for the first time while on the Yoshi's Island submap. This can, however, easily be changed with a hex edit:
Originally posted by the ROM map
0EE04 | $01:EC04 | 72 bytes
The routine that makes Yoshi hatch.
$01EC2F (0EE2F) - Change "3A" (DEC A) to "EA" (NOP) to make Yoshi's "Thank you for saving me" message appear even if your (sic) on the main overworld and/or submap.
$01EC3C (0EE3C) is Yoshi's thank you message
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