The show, which took place just two weeks after the release of OK Computer, was beset by technical problems.
During the encore, Yorke told the audience "all the speakers have been blowing up and stuff", before thanking them for their patience.
Speaking to BBC 6 Music's Matt Everitt, he revealed he had been on the verge of abandoning the performance.
"At one point I just went over to Ed [O'Brien, guitarist]. I tapped him on the shoulder and said, 'I'm off mate, see you later,'" he told Everitt.
"He turned around and went, 'If you do, you'll probably live the rest of your life regretting it.'
"I went, 'Good point.'"