The almighty saddle pose... some students love it, some do not!
Some yin teachers avoid instructing this shape because they feel overwhelmed when students are struggling and they don't know how to troubleshoot this shape with them.
This video explains how you might enter the shape differently depending on whether your hip range of motion is naturally more internally or externally rotated. This will make a huge difference on your comfort levels (not to mention avoid any unnecessary medial knee pain).
Take a look and see if these ideas help you get more comfortable in saddle pose.