This trick is called the UFO, and this is a pitcher's trick. And there's a lot of different techniques you can do with this too, and this is how you do it.
When you throw it, you want to throw the yo-yo at an angle, at a sideways angle. So you want to get the yo-yo on the side. And it kind of looks like a UFO. Comes right back to your hand. You can do it to the outside.
When doing a UFO you toss it to the side, you grab the string with your left hand and you guide the yo-yo right back up to your hand.
Also with the UFO it can be used to adjust the tension of the string. You do it to the inside the string gets looser. When you do it to the outside, the string gets tighter. And that's the UFO.