I use button shortcuts in Xubuntu 16.04 with yad 0.38.2-1 (Ubuntu 17.04 version) like this:
So the button shows "whatever" and if I press Alt, it changes to "whatever" and i can press W as a keyboard shortcut. This is fine. It also works to show underscores by doubling them as in:
yad --button "what__ever"
and the button is labeled with "what_ever" - regardless if i press Alt or not (which is also fine). What doesnt work is to combine both features by executing:
yad --button "_what__ever"
It shows "whatever" normally (which is wrong) and "what_ever" when Alt is pressed (which is right).