It is not a bug, that's what untargetability is supposed to do, to dodge things. Alpha Strike makes Master Yi goes into untargetability for a short period.
When you go untargetable, what's supposed to happen is that your character during that period would more or less vanish from the game. All of the targeting methods from ground-targeting (such as many AoE spell), aura (such as the Sunfire Cape), lock-on (spells and auto attack), direction targeting (skill shots), global or autolock (such as Karthus ulti), etc would ignore the unit in untargetable frames, hence they technically "vanish from the game", and allowing them to "dodge" incoming spells and attacks.
The only exception to this rule is DoT, delayed detonation, and tethers, IF they are applied before the unit goes into untargetable. If applied onto the unit before they go untargetable, they continue to suffer from the effects of the above 3 effect categories when they go into untargetability frames.
The only spells that are not included by the above ruleset is Soraka's R and Ryze's R, which allow them to target ally units who are in untargetability frames.
Fizz's ulti does seem like a delayed detonation spell, which should hit Master Yi during Alpha Strike if it's applied before the dude goes into untargetability, but that's unfortunately not the case. Because Fizz's ulti, if I understand it correctly, rather than coded as a spell with delayed effects like Zil's bombs, it's 2 spells put in sequence, where the second effect depends on the hit-checks of the first, it's a skill shot for the first part and either an AoE or single target spell for the second part I think. Hence Yi is allowed to dodge Fizz's ulti, both the first and second component, with Alpha Strike.
