I looked into it a while back, Firefox support is still work in progress and U2F support is expected for Firefox 56/57. Until then, support remains hidden behind a preference. Alternatively, there is an addon that enables U2F support.
I wouldn't recommend installing the addon or enabling the preference. Since any page you visit, with JS enabled, can tell you have U2F enabled. Your fingerprint will be different from the majority Tor users.
I doubt Tor Browser will have support any time soon. Tor browser will only upgrade from Firefox ESR 52 to 59 next year. And even once that has been done, someone needs to look at the privacy implications. I suspect the Firefox implementation would need to be tweaked to make all Tor Browsers look the same, whether a U2F token is available or not.