There are two different songs that are played when the New York Yankees score a run. The first song is "Won't Get Fooled Again" by the Who. The other song played is called "Workaholic" by 2 Unlimited.
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The Frank Sinatra version of "New York, New York" is traditionally played in Yankee Stadium after a Yankee victory.
It really depends on the announcer.
John Sterling, the radio announcer for the Yankees says, Thaaaaaaah Yankees Win Thaaaaaaaah Yankees WIN.