You can try, if you would like. I'm not certain how they would act, to be honest.
They just might not fly at all. Or they may end up stuck in trees and on ledges. More than usual, I mean.
IIRC, the pathfinding for fliers has a big FPS hit and therefore is limited to fairly short range, but works just fine within that range. So if the entire fort is confined to a small area, meaning no one has to path outside that area to get wood or water or anything, fliers would occupy it as expected. Though cramming everything in a tiny area is antithetical to how one would expect fliers to design a fort. (No, I don't think Toady ever revealed what the exact range is for flier pathfinding.)
If you put in only flying gaits you will probably have a lot of extra lag and weirdness, but giving them a normal gait and a flying gait worked fine when I tried it, forts with them operated as I expected, with them running around doing stuff when going on foot is more efficient (their foot gait was faster than the flying one which may have helped, not sure how the ai checks time to get to a location vs distance to the location) and only flying where it was an option and even then not so much.
In adventure mode with a swarm of them following me as I ran around on foot (male caste couldn't fly, females could) they would buzz around and divebomb stuff like you'd expect, though I'm baffled at the way they can be in mid-air following me when I get to a river, I jump it, they stop in mid-air and just sit there, even though if you just keep running at a river while playing as one, you fly straight across without stopping.
Sometimes I did get one that would "roost" and get stuck in a tree but a quick wait or travel hop generally fixed it, worst case scenario I'd pull up advfort and fell the tree to get them out.