Musannaf Ibn Abi Shayba 28:196

Waki' narrated to us, he said: Hisham bin 'Urwah narrated to us, from a man from the descendants of al-Zubayr who is called Yahya bin 'Abbad, he said: Al-Zubayr had on the day of Badr a yellow turban, having wrapped it around his head. Then the angels descended wearing yellow turbans.