Another option is to make an enriched bread with a lot of egg yolks in it.

Challah comes to mind but there are also regular sandwich breads that use the same technique. They have more fat and are therefore more tender and richly flavored than leaner sandwich breads.

They tend to be a pale yellow rather than a bright yellow you'd get from a dye.

Saffron bread is traditionally sweet and enriched, but has a nice pale yellow colour. I see no reason why you couldn't add saffron to a standard dough. The saffron must be very fine or you'll see little strands of it in the bread.

It may be worth persisting with the turmeric though. One thing you could try is soaking the turmeric in the water you're using for the bread, well in advance of making the dough. A lot of the colour will end up in the water, and soak into the flour. Turmeric in water can be used to make a natural food dye. You may need to adjust the proportions of turmeric to water. If you dye a bit more water than you'll need, and pour it off the turmeric you'll get quite a good idea of the colour as you start to mix in the water (assuming you're not using a bread maker).

You could even combine the two to get the colour just right.

If you shop around you may be able to find an acceptable dye - there are plenty of plant-derived food dyes if you look for them.

Durum flour is naturally yellow. If you use the semolina version you'll have a rather different texture (it's quite coarse) but either one will give you some high-protein wheat that's yellow.

Onions!

The outermost, dry and crusty part of onion skins (which you'd usually throw away) has traditionally been used for making yellow-to-orange dye by just boiling it in water. So, if you boil onion skins in water, and then use that water for baking, you have a good chance of getting some yellow(ish) bread.