If the intention is to listen to the entire discography, I suggest including the first two albums at some point. There's certainly nothing wrong with them. The songs are not as prog, but even in the early days, Yes had a penchant for going a bit beyond standard arrangements, and they have some pretty inventive covers on those first two albums. It's insightful to see where they started from.
As for the setlist from Union, I don't remember it all. But they opened with the excerpt from "The Firebird" and jumped into "Yours is No Disgrace". Abrupt, but it did start the show with a bang. I know they did "Awaken" because it closed the first set. All the standards were there, including "All Good People", "And You And I", and of course "Roundabout" for the encore. They pretty much had to play "Owner of a Lonely Heart" -- their only #1 song. Oh yeah, that night (7/20/1991) they were celebrating Trevor Rabin's newly minted U.S. Citizenship. He's South African by birth, but had applied for, and was granted that day, U.S. Citizenship as well.
Wakeman and Howe had their solo spots, and Kaye even got a short one which led into "Changes". Late in the show, where you might expect a drum solo, there was a drum duet, not unlike what Genesis did with Collins and Thompson. White stuck mainly to traps, and Bruford provided mostly the crazy licks and fills he's known for. (Interesting, I just realized that the one tour Chester Thompson didn't do with Genesis after Phil Collins started fronting the band, it was Bill Bruford who played drums. Funny how that works.)
"Heart of the Sunrise" was a treat. "Long Distance Runaround + The Fish" was in there, too, basically Squire's solo spot. From the Union album, they did "Shock to the System" and "Lift Me Up".
My memory must be playing tricks on me, because I thought Rabin and Howe had dueled at the end of "Starship Trooper", but I'm not seeing that song on any setlists I can find online (yeah, I finally had to cheat). It was during "Yours is No Disgrace". On Yessongs, there's a part where Howe takes off for a while, before they come back with "death-defying, mutilated.." and that's where Rabin and Howe traded licks.
There are video boots and torrents out there of the Union tour. I've seen some of it, and it's not bad. The Denver show is the best, if you can find it. Also, there was an official release in Japan -- I think it may have been Laserdisc -- which is out of print, but boots of it are out there.