Hmm, it seems that mutas can in fact fly in vacuum, according to the battle.net SCC. That leaves us with two other explanations for how Mutas fly:
1) Gas propulsion. The only difference is that the action of flapping the wings needs to actually accomplish something. Perhaps they have pores on their wings which eject gas, and they can control where they're going by flapping their wings.
2) Solar Wind. Their wings might harvest and use solar ions to help propel them. Kind of like a
solar sail.
Zerg minions travel inside the behemoths. Banshees and Wraiths can travel to their destination inside a Battlecruiser.