In the case of Yubikey's OpenPGP smartcard emulation, you can generate the key on a computer, write it to the Yubikey, then do whatever kinds of backups of the keys you like. If the Yubikey is destroyed or lost, you can buy a new one and write the key to it from a backup.

If I recall correctly, writing the key is an OpenPGP smartcard feature, so it should work on any hardware key that supports acting as an OpenPGP smartcard.