I think it's generally assumed that pretty much every fighting character in Touhou can fly. And to be more specific, the heroine is intercepted by Kogasa while chasing after the flying ship, so presumably they're both airborne too.
Guess I'll just add it. It's not nearly the least direct joke in the pool.
GraveThe Correct Route
(by flying)Flower fieldsNameless HillThe library is on the other side of the Human Village, the Forest of Magic... a bunch of different places!Human VillageFar from here?Right next door! ♪I'll show you the way, Kaban-chan!The Map in Kogasa's BrainHakurei ShrineYoukai MountainThe Kogasa RouteBamboo forestForest of MagicMisty LakeLibraryYour nickname! The Kaban-Youkai Kaban-chan!O~kay! O~kay! I'm gonna give you the nickname Mad Gasser~!!That's mean!!Nickname?Nicknames are what Mutual Friends (Friends) call each other!Kaban-chan?What is it this time, Remi?Hey, hey, listen, Patché!