Saudi-led airstrikes hit a target near the PLO embassy in Sanaa yesterday, damaging the building.
Tariq Ahmed Hardan of Iraq, of Palestinian ancestry, was killed.
The ambassador, Diab al-Louh, said that the target was a "metal workshop" nearby.
The PLO has moved its operations to the ambassador's home.
Some 700 Palestinian students study in Yemen; 500 of them have left through Oman. There are also some 59 Gazans in Yemen, according to the ambassador.