Fan with Yankees hat catches ball at Fenway Park, immediately takes off hat, regrets everything

You can wear a Yankees hat to Fenway Park (even if it's a game between the Indians and Red Sox). You can. You definitely can do that. There's no rules against that. 

Just remember, when you catch a foul ball and show off your souvenir to the crowd, remember that there's a pretty decent shot they may not be celebrating right along with you.

Yep, that's probably for the best.