"Is it possible to make a color space out of Red, Green and Yellow LEDs?"

Are you confusing the additive primaries - Red, Green, Blue - with the subtractive primaries - Cyan, Magenta, Yellow?

Additive primaries are used by light-emitting displays (CRT, LED, etc);
Subtractive primaries are used by light-absorbing media (pigments, inks, etc).

http://www.research.microsoft.com/~hollasch.../cmyk.html