Yell for me could work. It means call out to get my attention from another room. Yell at me means to scold. Also, "you can always ask me". "I am always willing to help." "Let me know if you need anything." "I can help with anything you need." "Don't be afraid to ask."

I wouldn't use the word yell, I would say give me a shout, or give me a call.

Don't worry about embarrassing yourself. You were not misunderstood. The most straightforward thing to say would be exactly what you wrote: "If you need anything, just let me know." The "at me" is wrong. To yell "at someone" means to be angry at them. Any of the following would be correct. They are all friendly, informal, and colorful: "If you need anything, just yell." "If you need anything, just holler." "If you need anything, just give me a holler." And: "If you need anything, just give me a yell." What this shows is that it is tricky for a non-native speaker to use informal speech, colloquial speech, or slang. It's best to stick to straightforward "classroom English." But don't worry, your tone of voice and body language expressed your meaning. It is very likely that your boss didn't even notice.

Hi, 'yell at me' is incorrect but you're heading in the right direction. What you want to say is 'Give me a shout.' This is called an idiom. Your boss is not going to LITERALLY give you a 'shout' but it just means 'let me know'. Hope I could help. :)

I would say "If you need anything, just give me a holler." but I am American and that is more of a Southern (from "the South" of the US) thing to say.