Direct already supports several tracking systems, which are listed in Analytics for mobile app ads that uses tracking systems. Please check whether or not the system you use is among them. If not, you can contact the owner (or developer) of the tracking system with a request to integrate it with Yandex.Direct.
How Direct interacts with tracking systems is described in detail in Yandex's documentation.
Please fill out a request to connect a tracking system. Yandex looks forward to working with you!