Is there a canonical reference that confirms that Grogu is a member of the same species as Yoda and Yaddle?
Ahsoka says within "Chapter 13: The Jedi" that he's the same species (or type of "being"):
He was raised at the Jedi Temple on Coruscant. Many Masters trained him over the years. At the end of the Clone Wars when the Empire rose to power, he was hidden. Someone took him from the Temple. Then his memory becomes... dark. He seemed lost. Alone.
I've only known one other being like this. A wise Jedi Master named Yoda. Can he still wield the Force?
(Source: The Mandalorian, Chapter 13: The Jedi, via https://transcripts.foreverdreaming.org/viewtopic.php?t=40521)
(It makes sense that she wouldn't have known Yaddle, who died in 32 BBY when Ahsoka was 4 years old).
It's also made explicit by the official audio description track in Chapter 1:
The Mandalorian sweeps his fob around. It blinks red as it points toward a strange, floating egg-shaped object that sits half-concealed under some netting. The Mandalorian walks over to it. The IG droid steps up by his side as he keys a small panel which powers down a veil generator to reveal what's inside. A baby, the same race as Yoda, smiles up at them.
(Source: The Mandalorian, Chapter 1: The Mandalorian on Disney Plus)
The Mandalorian creator Jon Favreau confirmed in a Hollywood Reporter interview that they are the same species.
What can you tell us about the creation of Baby Yoda?
He’s mostly a puppet. When it’s CG, we try to make him obey the same physical laws that he would if he were a puppet. I think a lot of times CG makes itself too obvious where you don’t create parameters creatively that allow the character to keep the same identity and charm. … We’ll learn more about him over the course of the season. I think what’s great about what George created is that Yoda proper, the character that we grew up watching, was always shrouded in mystery, and that was what made him so archetypal and so mythic. We know who he is based on his behavior and what he stands for, but we don’t know a lot of details about where he comes from or his species. I think that’s why people are so curious about this little one of the same species.
That'd seem be a canonical confirmation depending on how much weight Word of God is given these days in the Star Wars fandom (I haven't dipped my toe into that debate for a decade now).
In the article Sav Malagán Returns and More Concept Art on Star Wars: The High Republic Show on the official Star Wars website, this is mentioned about Yaddle:
The Force-user is the same species as Yoda and Grogu, and she'll play an important role by the end of Phase II.
As a sidenote, I found this page by simply Googling "Grogu species site:starwars.com"