How characters responds to the input is different from game to game, so the settings menu only provide the input system. The developer decides how the character respond to input.
There are plenty of different ways to make a flying character.
If it flies all the time, you can use the flying template blueprint as a starting point.
If your player is of type character, you should be able to switch movement mode between flying/walking and add an input to move up/down.
To add input for a new movement direction up/down, part 3.9 of manual shows an example on adding new events to BP_ActionManager.