The situation: a Master Naga surrounded by walls, bane spiders and kobolds (with no empty squares adjacent). Zyla, being able to Fly, is able to move into a square adjacent to the Naga - however once she does so, she is grappled in a square with another figure, say a bane spider, and cannot spend movement points.

Since Zyla would have to end her move in a square with another figure, which is obviously not allowed, I interpret the rule as saying she cannot move into a square adjacent to the Naga, as long as the square is occupied by another figure. Correct?

I think, that she's able to pass ungrappled... I think there was a mention in the FAQ about that.

Per the FAQ, Flying creatures can be grappled.

However , from the GLoAQ:

Grapple
A)Is a hero with Grapple really intended to keep 8 creatures in one place? Yes
B)Can a fiendly figure move through a space occupied by another friendly figure that is currently being grappled? Yes. Grapple can only hold one figure per space, however .

I would come to the conclusion that if she has enough movement to fly through and make it an empty space she can.

That's how I would play it, Grapple only works if the space has only one model in it. I picture it as the grappling figure is either A) confused with the multiple people present (which is what happens when an enemy model moves through a friend model) or B) too busy with the current figure being grappled (when an enemy model moves through an enemy model).

-shnar