Are you picking him up under the armpits like a child or putting your hand across his chest to pick him up?
Looks like you mean you are putting your hand across his chest.
Dogs don't have collar bones so if you pick them up like a child under the armpits it puts stress on the muscles and tendons in the shoulders and can be very painful for the dog.
But if you are lifting him by the chest itself there may be pain from the compression of the lungs or heart or liver when you pick him up that way. You can see a diagram of the organs here to see how easily they can be compressed
In the front of the chest you could even put pressure on the trachea.
Tick carried diseases can also cause joint and muscle pain which might make a dog yelp when you pick him up.
And there is also the startle factor and dominance implications when you pick a dog up. Raising a dog off of the ground suddenly could surprise him and also it is a very dominant move and the dog could vocalize in submission (as in please don't hurt me).
Hope this helps you!