According to Greek mythology, Io was the priestess to Hera, wife of the thunder god Zeus. Zeus took a liking to her, and to avoid detection from his jealous wife, he shrouded the place where he seduced Io with clouds. Naturally, Hera was suspicious of the cloud's formation as well as Zeus' apparent absence from Mount Olympus. When she descended, she found Zeus as a white cloud alongside a beautiful heifer. Hera knew full well that the heifer was Io, turned by Zeus. To trap him, Hera demanded that Zeus give her the heifer as a present. Zeus had no choice but to present heifer Io to Hera, who assigned the multiple-eyed giant Argus Panoptes as her guard. Zeus sent Hermes to lull Argus to sleep, and he set Io free. Io made her home in Egypt.
As Yukari's initial persona Io's history and actions mimic Yukari's own, both were saddled with heavy burdens inadvertently caused by their fathers, were severely punished for their fathers' crimes, were abandoned, found themselves at a crossroads in the middle of their journeys but ultimately found it within themselves to continue marching forward and finally fix the problems left for them. Io also shares loose ties to Yukari's ultimate persona Isis as she found the answers she needed in Egypt, the birthplace of Isis' mythology.
Io's appearance with her eyes closed and bound to the heifer foreshadows Yukari's own feelings and desire to forget and look away from her past, but like Io, she is still bound to her past and can never truly move on until she finds the answers she seeks. In a literal sense, Io's depiction is a reference to the actual myth she was derived from where the god Zeus transformed her into a cow in other to disguise her from his wife Hera.
Io and Hathor (the wife of Isis' son Horus) coincidentally share the same cow motif.
The Zodiac sign Taurus can be seen between the nostrils of the "heifer", indicating Io's association with the constellation.
Yukari is a Libra, not Taurus. But another party member in the Persona series of the Lovers Arcana, Lisa Silverman, is indeed a Taurus.
Io appears as a palette swap for Tomoe Gozen when Chie Satonaka is using her Yukari palette.
In Persona 3 The Movie: Winter of Rebirth, Yukari has a nightmare of Io trying to kill her.