The Yu phones will run Android, but their software will come from Cyanogen, Inc., the company behind the preinstalled ROM for the OnePlus One (and the Oppo N1 CyanogenMod Edition before that).
This might be used by Micromax as a unique selling point for the new brand.
Cyanogen (the company) has been clear that it wants to partner with more phone makers, and this deal is in line with its strategy. As for Micromax, it must have felt the heat from Xiaomi's arrival in India, and Yu is its response.
The first Yu handset is apparently going to be made official sometime next month. Micromax boasts that it will honor the warranty for Yu phones even if they're rooted. And in the future, we should also see Yu-branded smartwatches and smart bands.