Brother Yun is an amazing man! I had read his book, The Heavenly Man, about seven years ago when I first became a Christian. Going back through it now that I've walked with the Lord for several years made it even better. God gave Yun much wisdom and his advice on praying for Christians that are being persecuted is phenomenal. I'm going to share an excerpt on praying below.
"Whenever I hear a house church Christian has been imprisoned for Christ in China I don't advise people to pray for his or her release unless the Lord clearly reveals we should pray this way.
Before a chicken is hatched it is vital it is kept in the warm protection of the shell for 21 days. If you take the chick out of that environment one day too early, it will die. similarly, ducks need to remain confined in their shell for 28 days before they are hatched. If you take a duck out on the 27th day, it will day.
There is always a purpose behind why God allows his children to go to prison. Perhaps it's so they can witness to the other prisoners, perhaps God wants to develop more character in their lives. But if we use our own efforts to get them out of prison earlier than God intended, we can thwart his plans, and the believers may come out not as fully formed as God wanted them to be." (The Heavenly Man, p. 313)
Brother Yun did not say this lightly or without experience of his own. He spent many years in Chinese prisons for his witness for Christ. He endured many beatings and times of torture for his role as an illegal (in the government of China's eyes) house church leader. He knows the how the Lord can work in a believer's heart while in prison.
For those of us who are believers in the West, this goes against everything we've been taught and experienced. Western believers like comfort and anything that causes discomfort we try to remove as quickly as possible. However, many times the hard, uncomfortable things are what God uses to refine us and make us more Christ-like.
So, instead of praying for the immediate removal of the trials, pray that God's will would be accomplished and that He would be glorified in His children's suffering.