Extremely fast ninja bug(Ninjask) and giant dragonfly(Yanmega): Cannot learn Fly
Part of Fly is requiring that the trainer could ride on the Pokémon. How would a trainer ride on either Ninjask or Yanmega? Ninjask is much too small, and Yanmega doesn't have a body shape that would allow a trainer to sit on top of it.
While some Pokémon, like Pidgey are given Fly without being able to carry a trainer, this is almost certainly done exclusively so that there are commonly available Pokémon that can learn the move, making it easy for a trainer to get a Pokémon that can use Fly. Since Ninjask and Yanmega aren't common, this exception to the rule doesn't apply to them.
Old Man Flightless Dragon(Drampa)
You sure Drampa is flightless?
Satan penguin(Delibird): Can learn Fly
Delibird learning Fly is a reference to Santa flying around the world in one night.
Did you mean to Satan instead of Santa? If not, that's a pretty funny typo. If so, why?
You know you have to wonder why each Alolan Dugtrio head has a different natural hair-style at different growths instead of the same appearances like other multi-headed Pokemon.
Why not? There's no rule that says each of them has to look exactly the same. It's not really implied in any way either. Just because something hasen't happened before, doesn't mean it can't happen.
And for that matter, not all other multi-headed Pokémon look the same across their heads. Magneton, for instance, has a different configuration of screws on each of its heads.