|The Sun - April 18, 1912|
Looks like the Highlanders to me. But, wanting to be fair and to see both sides of the issue, I looked at another New York newspaper...
|New-York Tribune - April 18, 1912|
I'll give Mr. Olberman the Yankees moniker that day if he'll agree that they were also the Highlanders.
April 21 Update: Keith Olbermann has written a fine summary of the names of the American League team from New York.