Depends on your location.
I've only had this happen to me once, and my pre-programmed response to things being weird is to switch to sports mode and go Full UP. This got me well away from the car that was apparently causing interference, and gave my Mavic Pro time to gets its **** together, so I could then land in a controlled manner a few moments later.
Its much easier to control something in a large wide open space, and you will generally have more obstacles closer to the ground so up has always been a better option for me.
This will only work in unusual circumstances - namely when the interference wasn't at the takeoff point but occurred after the flight began. Climbing may correct the yaw error in that case. But if the problem was incorrect yaw initialization to start with, then the only way out is either ATTI mode (if you have that selectable) or get the aircraft on the ground as fast as possible.