I think you need to understand the difference between Audio & MIDI. Audio is the real deal. MIDI is something that crates audio but only when you have it connected to an instrument.
MIDI allows you to play notes in one place and have them sound in another, try that with a real Pianner.
You have plugged Audio Out from your synth (we'll accept that definition loosely for now) into the Audio In of the Interface and therefore Reason.
What you need to do now is plug MIDI Out from the keyboard to MIDI In on the interface and then make sure that Reason can receive by setting up in Edit/Preferences/Control Surface. Just define your Yamaha as a Generic Controller or something like.
MIDI cables have an ugly 5-Pin DIN plug
MIDI at Wikipedia
Once set up you can create an Instrument (Thor, NNXT, ID8 etc) in Reason, make sure the Track is selected and play away. MIDI Notes at the keyboard will sound from the Reason synth.