Lua is a scripting language.
In the Bully files, you'll find an .img file called Scripts full of .lur files. .lur files are actually encrypted .lua files...thankfully, a known modder named Fred Tetra got most of the files partially decompiled (about 70% of the file or so, on average).
I don't know if I can do a "flying" mod with an animation, but what I can do is elevate and lower Jimmy's position on the map without him falling.