We consider the Yamada model for an excitable or self-pulsating laser with saturable absorber and study the effects of delayed optical self-feedback in the excitable case. More specifically, we are concerned with the generation of stable periodic pulse trains via repeated self-excitation after passage through the delayed feedback loop and their bifurcations. We show that onset and termination of such pulse trains correspond to the simultaneous bifurcation of countably many fold periodic orbits with infinite period in this delay differential equation. We employ numerical continuation and the concept of reappearance of periodic solutions to show that these bifurcations coincide with codimension-two points along families of connecting orbits and fold periodic orbits in a related advanced differential equation. These points include heteroclinic connections between steady states and homoclinic bifurcations with non-hyperbolic equilibria. Tracking these codimension-two points in parameter space reveals the critical parameter values for the existence of periodic pulse trains. We use the recently developed theory of temporal dissipative solitons to infer necessary conditions for the stability of such pulse trains.