From the Super Mario Wiki
Snowball Yoshi is a form that Yoshi can become in the games Super Mario World 2: Yoshi's Island, Yoshi's Island: Super Mario Advance 3 and Yoshi's Island DS. Ski Yoshi is needed to perform this transformation and, if Yoshi hits an obstacle or fails a ramp, he turns into Snowball Yoshi. Yoshi is invincible in this form, but he cannot jump and the player also has no means of controlling him. Only Yoshi's skis are seen in this transformation. As Yoshi rolls, the snowball in which he is enclosed increases in size until he breaks out, returning to his normal form.
Oddly, before turning into this form, Yoshi is seen falling forward but lands on his side before he starts rolling.