I watched a video about this on youtube and it said Zaheer but I'm not sure. At first, I probably would have said Zaheer but after watching the video, it actually made me think Azula would win. Both of them are pretty much equally skilled without their bending (even being able to take on benders without their bending) and Zaheer seemed to be able to adapt to his powers soon, though he wasn't much of a match against Tenzin without having help. But Azula is also very skilled in firebending, always striving for perfection and is able to create blue fire, which is MUCH hotter than regular fire and she seems to be the only one to have this ability (besides dragons, making her the only human to accomplish this). Zaheer can take hair out of peoples lungs but if you payed close attention, you'll see that he needs to be able to focus on his target and have them remain skill long enough for him to do this. He's done it to an incompetent Earth queen and Korra who was weak from the metal poison. Azula is far too quick for him to be able to accomplish this. Both are also very clever and have a calm state of mind but Azula is far more clever because she is also able to get inside her opponents mind and turn them against themselves, where they would be unable to keep a calm and focused mind, and she's strike the a kobra. Both are capable of flight. But Azula also plays dirty and catches her enemies off guard (like shooting at Katara during the Agni Kai and when she kills Aang during the Avatar State when he wasn't looking) and takes away the victory that they think they have won. Zaheer would try to take the air out of her lungs, thinking he had would undoubtably won, but Azula's cleverness and relentlessness would catch him off guard by shooting a lightning bolt at him. Zaheer would drop to the ground, unconscious, while Azula would regain her breath after almost dying. She would walk over to Zaheer and use his own trick against him for his demise. As he would regain consciousness, Azula would shoot a lightning in his mouth to destroy his lungs, just like he had tried to kill her with the air in her lungs. Ultimately killing Zaheer and Azula winning a VERY CLOSE fight!

I feel like Azula just has much more on her side. Like she has the blue fire, she has the lightning. As you mentioned her fire burns hotter naturally. Even if he sucks her breath out as he did with the Earth Queen I would imagine she'd still be able to generate lightning and therefore put an end to that. She's very good at what she does being a prodigy and she's had her abilities since she was born, Zaheer did not. Plus Zaheer has a weakness; his love of P'Li. Azula is stellar with mind games and isn't above using his love of P'Li against him. Azula also has her display of acrobatics displayed during the eclipse as well as her skill with weaponry. He may have flight but she has the ability and the very good aim to essentially blast him to the ground. Zaheer is also slower movement wise, Azula is very very fast whereas Zaheer was actually rather slow. I feel like a crazy Azula would probably be able to take him down honestly; not that he's a weak character, she's just much stronger. Honestly I think the Avatar characters in general are stronger than the ones from Korra.

I agree with everything above.

^^ Even stronger than Ming-hua and Kuvira? Our babies? (also Asami)

Ming maybe not. Ming can do her crazy octopus thing. I think she outdid Katara. Kuvira would easily be bested by Toph...Toph invented her skill. However I feel like with Kuvira it would depend who you put her up against. Azula could beat all of them, Aang could. Zuko probably could as well.
TBH Zaheer was probably my least favorite Korra villain.