The Behringer UM2 has two inputs, but the second input is a dedicated high-impedance guitar input, so when recording your Yamaha digital piano, you will have to use the Mic/Line input and record in mono.
The Yamaha CLP-360 has quite a wide stereo image, with the keyboard range spread out over the stereo field, so only recording either the left or the right side of the stereo output is not an option; you will have to combine both channels.
There are both a stereo headphone output and stereo line-level outputs on unbalanced RCA plugs; the line-level outputs are the best match and will give the best audio quality when connecting to a line-level input on an audio interface.
The Mic/Line input is a balanced XLR/TRS combination input. So you are connecting a stereo unbalanced output to a mono balanced input. This will require specific pseudo-balanced cabling to get the optimal results.
I suggest making a pseudo-balanced Y-cable with screened 2-wire cable: connect the tips of both RCA outputs to the tip of the TRS input, the sleeve of both RCA outputs to the ring of the TRS input, and the screen of both cables to the sleeve of the TRS input but unconnected at the output side.
UNBALANCED OUT BALANCED IN
(2x RCA) (TRS JACK)
OUT L tip --------wire 1--------+---- tip
sleeve --------wire 2--------|-+-- ring
| | |
OUT R tip --------wire 1--------+ | |
sleeve --------wire 2----------+ |
Note: If you have no use for the option of connecting a guitar or microphone to the audio interface, and you just want to record your digital piano, then the even simpler and cheaper Behringer UCA-202 may be a better choice. You'd be able to connect it with a simple RCA cable.
Note: The instrument input is presented as a high-impedance input for guitar in the manual, but the label "instrument" seems to suggests that it may also accept other types of signals; the manual and the Behringer website are quite vague about this. But it will be a mono connection, and a generic Y-cable will only connect one of the stereo channels instead of mixing them.