Sahih Muslim
The Book Pertaining to Piety and Softening of Hearts (Kitab Al-Zuhd wa Al-Raqaiq)
Book Number: 042 / Hadith Number: 7132
The son of Abu Said al-Khudri reported on the authority of his father that Allah's Messenger (may peace be upon him) said. When one of you yawns while engaged in prayer, he should try to restrain so far as it lies in his power, since it is the Satan that enter therein.