As far as I know you don't need to complete all the zones at least I haven't had to with other chars (they are still able to make it to broken shore/argus). I think completing the story line quests in each zone was needed for flying?? been awhile since I got that on my main account.

I've found with heirlooms that I only need to complete 1 and 3/4 zones to make it to 110. Ill keep plugging away at different zones with my different teams and ill keep track of which zones are better than others. So far I Defiantly would not recommend Azuna.