Wait, I didn't read closely enough and misunderstood what you're trying to do.
You're trying to record the audio output, not MIDI?
The PSR-EW400 has USB audio capability, so in theory you should be able to record its audio using a USB connection, at least if the USB audio is being received correctly. I'm not familiar with the iPad Air 2 as far as any possible issues with compatibility.
Note that the PSR-EW400 cannot use USB 3, so you need to be sure that the USB cable is USB 2 and not USB 3. The iPad presumably has USB 3, but that shouldn't matter as long as the cable going to the keyboard is USB 2.
I'll see if I can get that app to work on my iPad 5 with my PSR-EW400.
ADDENDUM -- As far as I can tell from what it says in the App Store, the Yamaha My Music Recorder app is for MIDI recording, not audio. It doesn't specifically say that in the description, but it does say that you need an interface with core MIDI compatibility, implying that it receives and records MIDI data, not audio.
You should look for a different app. Some audio recording apps use the iPad's built-in microphone, but you'll want an app that can use a connected audio source. Some potential apps include Cubasis and Auria.