Fhskfhskf I could imagine her doing this and, despite being the one who initiated the hand holding, getting flustered as well. So the two/three of them are just standing there all holding hands with very embarrassed faces.Random cute thought that came to my head:
Zelda goes up to Roxas or one of the Pits while they're busy with something and asks them to hold something for her. Without breaking their gaze from whatever has their attention, they hold their hand out for Zelda to give them the object. She puts her hand into theirs.
I can see her doing things like this just to get a reaction out of them.