In a large bowl, combine pudding mix, yogurt, and vanilla. Beat at medium speed with an electric mixer for 2 minutes, or until thick.
In a medium bowl, combine marshmallow crème and whipped topping. Beat at medium speed with an electric mixer until combined. Add marshmallow mixture to pudding mixture, beating until smooth. Refrigerate for 1 hour.
Place mixture in a pastry bag fitted with a star tip. Pipe into ice cream cones. Refrigerate until ready to serve.