At the risk of teaching my granny to suck eggs, you should understand that MIDI does not transfer any sound - it only communicates information about which notes are played, when they are played, for how long and how hard etc.
My apologies if you already knew this!
I’m no expert, but I did go through a similar process when I first started trying to record drum samples from my SR16.
If I’m reading your question correctly, you wish to record the sounds from your drum kit in Cubase, rather than use the kit’s MIDI output to trigger a VST instrument within the DAW?
This being the case, you will need to physically connect the Yamaha’s Left and Right audio output jacks to the L/R inputs on your interface.
Then, within your open Cubase project, click the studio menu and select “Audio Connections” (F4) and ensure that you have an active input bus with your UR22C as the named Audio Device, and the UR22C Left and Right inputs active in the “Device Port” column.
From there, create a new audio track in your project. In the track inspector, ensure that your input routing is set to your interface audio in (it will say something like: UR22CInL/R. The output should already be set to Stereo Out.
Assuming all else is in order, smash that red button and start recording!