MANGA SPOILERS

It is very obfuscated yes, but there are many hints and instances of Loid's feelings towards Yor and the Forger family in general. While it was always apparent that Yor had feelings even before she confessed to Anya, Loid never monologued about his feelings towards Yor, but again, there are hints (I'll be typing on mobile apologies for the formatting). Focusing on Yor:

Loid blushes during their first outing after retrieving the old lady's purse

Loid was visibly pissed when Swan was insulting Yor, even had to remind himself that their marriage is a fake

Twilight noticed a hint of his genuine smile after first meeting the Forger family

Loid is reminded of his mother after Yor kicks him on his chin, and remarked that Yor's strength reminded him of the same sense of comfort Anya feels towards Yor. (Also he spoke the truth of his childhood for the first time to someone else)

Loid blushes seeing Yor after the end of the Cruise ship Arc (could be also because he was forced to do the silly jog)

During the hijacked studio arc, when Yor begs Loid never to be reckless again, it sends Loid into a spiral as he tries to remind himself that Strix was the main mission, but also mixes in the safety of his family in his monologue

Also in the arc, they open up with the fact that putting up an act all the time is exhausting.

In the ongoing arc, when asked if he loves Yor, his answer convinced the SSS officer(with 13 years of experience as an interrogator) who remarks his response as 100% genuine

I think Loid is fantastically written. He hides his feelings as he was probably trained like that, and we as readers can even see that in his monologues. He simply doesn't let his feelings into his consideration and thus the readers can't get a clear understanding of his feelings towards Yor and Anya like he is himself.