tdlr; Episode 1 is interesting but partially filler, Episode 2 & 3 is vital to the plot of the series.
The first episode borders on filler in places, but it will give insight into the history of the current White Dragon, Ki-ja. The group (including all four dragons) comes across an inn while traveling through the mountains and decide to stay the night because of cheap lodgings and the chance to bathe in the inn's hot springs. Ki-ja refuses to bathe and begins acting strangely. Jae-Ha, the Green Dragon, tries to help him; he unearths an old secret and eventually the two dragons come to understand each other a little better.
EPISODE 2 & 3:
This is actually a two-parter. The two episodes are all about Zeno, the Yellow Dragon. This is the part of the OVA that I strongly encourage anyone watching the original series to watch. The first series gave no insight at all into who Zeno was. He simply appears and joins them. I'm not spoiling this one at all, but I will say that it's comparable to the start of the series in emotion and tragedy. His life might just have been the most difficult out of all the dragons', and it gives incredibly important context to why a scruffy blonde man can just drop in out of nowhere to accompany everyone in the season one finale.
Interestingly enough, it also tells us the history of the original dragon lords and King Hiryuu; the original Red King and dragon-god-turned-human. The story is not about him, nor the other dragons, but you'll finally get to see them. Just like the rest of Yona of the Dawn, there are a lot of tropes and ideas taken from other series that get tied into the story and it can be distracting if you're familiar with them, but I feel like it makes it work. You're meant to get emotionally invested in Zeno's story and they've done a reasonably good job at showing you why you should care. It doesn't linger too long on any one thing, but that seems to work for the best given how much content they're trying to squeeze into two episodes.
King Hiryuu is not going to be a particularly developed character. He's somewhere between a god and a king- and while they portray that well, it also means that he borders on perfection. He looks like Yona and fights like Hak, but he's not a main character. We see enough to like him, but not enough to be frustrated by how few flaws he has.
I'm a little miffed that they didn't include this in the original series, but I can understand how time constraints and budgeting affected their goals for the story. This definitely needed the time they took to flesh it out properly. All in all, I would highly recommend at least these two episodes of the OVA. The first episode is not necessary to the plot, as the original series basically implies what has happened without the same depth. That said, it was enjoyable and it does expand on Ki-ja' and Jae-Ha's relationship to some extent. Unless you're particularly averse to a little fanservice, the first episode isn't anything to avoid- it's just not as plot-oriented as the second and third.
Seriously do not skip these OVAs. It's amazing and even had me close to tears so many times. Episode one is a hotsprings episode but it's not fan service or ecchi like every other hotsprings or beach episodes. It has a bit of backstory to the white dragon and his scars. You could definetely skip it but I thought it was cute and nice to watch and i wanted to know about the scars on his back. However, the second and third episodes are vital to watch. They're both the backstory of the newest recruit, the yellow dragon. I genuinely think he's now my favourite dragon and he has the saddest backstory. These last two episodes fill in so many blanks and I'm glad they released them since he was only in the anime for one episode. Also theres a brief cute moment between Hak and Yona, but i must stress that these OVAs are mainly about the Yellow Dragon and the first one is mainly about the white and green dragon. I would love a whole anime just based off the Yellow dragon, 10/10 must watch, especially if you're still sad that there's most likely never going to be a second season of this anime.
Some fanservice for woman and a flashback for white dragon