With a combined time of one minute 43.86 seconds, police officer Loelling held a slender lead of two hundredths of a second over Austria's Janine Flock at the Olympic Sliding Centre.
Riders braved an icy wind chill of minus 11 degrees Celsius which made some sleds more difficult to control on the hardened ice, particularly around the "dragon's tail" chicane.
After setting a track record in her first run, Yarnold failed to maintain the pace in the second and slipped to third with British team mate Laura Deas close behind in fourth. Sochi 2014 gold medallist Yarnold has reportedly been suffering from inner-ear problems affecting her balance.
British women have medalled at every skeleton competition since the sport was reintroduced to the Olympics in 2002.
Germans Anna Fernstaedt and Tina Hermann finished fifth and sixth respectively ahead of the last two runs on Saturday.
(Reporting by James Pearson, editing by Ed Osmond)
