Nowhere, things are just more efficient. Or less efficient. Depends on how you want to look at it.

Yelling is a very bad example for your question thought because the mechanics are a bit harder to follow? On earth, if you hit something, the molecules of that move around, and eventually some of them at the borders push on the air and sound is created. In a vacuum, the molecules of what you hit don't push any air, and either more of that is converted to heat, or the molecules oscillate longer as the wave propagates through them, or more kinetic energy ends up propelling what you hit, or some combination of all of this.