It seems to me from the quote from the last Chief Rabbi of Yemen, Rabbi Amram Korach, that they didn't follow the Rambam in this regard because they found the kudu horn more beautiful for the mitzvah.
"The shofar of Rosh HaShanah, that they were accustomed to blowing, was long and
twisted, two or three twists, and its sound was pure and eerie. Some said that it was from
an animal that was similar to sheep. Therefore, they did not concern themselves with
[Rambam’s] stringency that only sheep horns are kosher, since they saw that this shofar
beautifies the mitzvah in its stature, and its sound was greater than that of a sheep’s horn,
and until this very day they blow the mitzvah blasts with this shofar, according to the
rulings of the Geonim that all twisted shofars are kosher from the outset.
(Sa’arat Teiman, Jerusalem 1954, p. 99)
Look here for an interesting article on that general discussion.
Search for "II. The Yemenite Kudu Shofar" to find the beginning of that section.