Idiomatic Clojure way of mimicking Python's yield

You can build this yourself using lazy-seq as you mention or you could use partition and reduce to split the problem into phases then thread them together. I'll use the thread-last macro to show each step on it's own:

user> (->> [1, 5, 2, 5, :SENTINEL, 4, 6, 7] ;; start with data
           (partition-by #(= :SENTINEL %))  ;; ((1 5 2 5) (:SENTINEL) (4 6 7))
           (take-nth 2)                     ;; ((1 5 2 5) (4 6 7))
           (map #(* 2 (reduce + %))))       ;; the map here keeps it lazy
(26 34)

and here it is usin lazy-seq directly:

user>  (defn x [items]
         (when (seq items)
           (lazy-seq (cons (* 2 (reduce + (take-while #(not= :SENTINEL %) items)))
                           (x (rest (drop-while #(not= :SENTINEL %) items)))))))
#'user/x
user> (x [1, 5, 2, 5, :SENTINEL, 4, 6, 7])
(26 34)

The Tupelo library has a way to do this using lazy-gen/yield which mimics a Python generator function:

(ns xyz
  (:require [tupelo.core :as t] ))

(def data-1 [1 5 2 5 :SENTINEL 4 6 7] )
(def data-2 [1 5 2 5 :SENTINEL 4 6 7 :SENTINEL] )

(defn yielder [vals]
  (t/lazy-gen
    (let [state (atom 0)]
      (doseq [item vals]
        (if (= :SENTINEL item)
          (do
            (t/yield (* 2 @state))
            (reset! state 0))
          (swap! state + item))))))

(yielder data-1) => (26)
(yielder data-2) => (26 34)

Note that the original problem description had a bug, since the cumulative state is only output when the :SENTENEL tag is encountered. The different outputs for data-1 and data-2 illustrate the problem.