Oooookay, short update. I'm still evaluating stuff here. Most problems arise from the fact that Yii is really a webframework that focuses around the HTTP request cycle while XUL is intended to describe an entire application. This is turning this endeavour into quite a challenge. But: It's far from impossible. My initial idea of writing a new renderer for this hasn't turned out to be such a great idea. it'll work but things might be unnecessarily complex that way. Instead, it might be possible to take advantage of the existing SOAP/WSDL capabilities of Yii.
My current idea is to create a bootstrap .jar containing all the client goodies (XUL, XBL, JavaScript) in one package. This could be created by a console command. A small shellscript/batchfile on the clientside could then fetch this .jar from the server and let XULrunner run against it. The rest would be left to the SOAP stack.
A word on interactivity/widgets: I found a jQuery fork that is capable to interoperate with XUL. This is opening some interesting options, since already existing widgets can provide output that could be more or less tossed right into XUL. I wouldn't rely too much on this, though.
Theming: Seems the most elegant way of achieving this is using pure CSS. From all other options it also seems to be the most hassle-free one.
I'll keep you updated. After all, it's still a great idea