Hi I am by no means a Korean name expert, so this is just my understanding from quick research on the name Yeon Wu.
From what I have seen, Yeon means something similar to "extend" in Korean, and Wu appears to be more a Chinese name with a few different meanings depending on the Chinese character (ie: millitary Marshal or business). I also read that the chinese word Wu, is often referred to as Mu in Korean which means to admire or wood, depending again on the character.
Unfortunately it doesn't really give a clear meaning to your son's given name. Yeon Wu. Perhaps it's something like Extensive Marshal or military, or extensive wood? I really don't know.
However there is some interesting literature on the net about an a famous (or infamous) man in Korean History called Yeon, which I have abrieviated from wikipedia below for you.
Yeon was the last name of an important man called Yeon Gaesomun who was a powerful and controversial military dictator in ancient Korea.
Traditional Korean historians paint Yeon as a despotic leader, whose cruel policies and disobedience to his monarch led to the fall of Goguryeo (the monarch). However, his achievements in defending Goguryeo against Chinese onslaughts have made him something of a folk hero.