Here is my attempt to improve you sentence. There isn't really much wrong with the original wording, except that it doesn't flow smoothly (for lack of a better term).
I'm wondering what you call the behavior of a fly that annoys you by landing on you and keeps coming back even after you swat at it?
I'm wondering, what do you call the behavior of a fly that annoys you by landing on you and keeps coming back even after you swat at it?

A side note. This question brought to mind a word from my youth that I haven't used in many years. In southwestern Pennsylvania, where I grew up, we used to talk of flies "lighting" or perhaps "liteing" (I never thought of spelling it until just now) on something meaning "to land". Has anyone else heard or used this word in this sense? I'm guessing it's a regionalism.