Zangya is a part of an infamous group of space pirates lead by the relatively rude Bojack. Her, and the rest of the crew, were locked in a star near King Kai's planet, but released by the explosion of Cell's self destruction. After this, they traveled to Earth in order to create conflict in the movie, despite having no real motivation.
Zangya, along with the rest of the crew, are part of the otherwise-extinct Race of Hera. The race seems to consist entirely of humanoid aliens who look like a rather one-sided game of Splatoon took place on them. They have several abilities that seem to be exclusive to the race, including a power draining attack known as Psycho Thread.
Despite Bojack and Kogu displaying the ability, Zangya never transforms into the green, crimson haired full power form they used. It is possible that she was sent to fight Krillin specifically because she is unable to transform, and thus it would be easier for her to fight the weakest attending Z-Fighter, or simply that she never transformed due to getting rekt by her boyfriend before she had a chance.
Despite not transforming, Zangya could be second only to Bojack in strength, since she survived the longest among his minions. Kogu was easily killed by SSJ Trunks, while Bido's strength was mainly in his ability to distract and use psychic powers on his opponents. Zangya is able to fight on near equal terms with Trunks, though it's likely that even SSJ Gohan could beat her easily one on one.
Zangya is the obligatory "Big Bad of the movie kills his own ally" choice for movie 9. After seeing that he's no match for SSJ2 Gohan, Bojack pushes her toward him, and fires a blast into her that causes her to violently explode. Despite sounding like a sexual euphemism, this was actually an attempt to distract Gohan, which somehow worked for an attosecond despite being the worst plan ever.
Zangya is actually a master strategist, as shown when she helped Bojack to wait on invading Earth until the day that Hercule Satan was too sick to fight the Pirates off. This saved the entire crew the pain of Mr. Satan's otherwise inevitable counterattack, which would surely save the Earth in mere seconds.
Fact: Zangya is alright, I guess.