Based on her in-game dialogues during pre-battle sequences with the characters, Valkyrie seems to get along with pretty much everyone. Her fun interactions include wanting to learn a move from Akira's Bajiquan, getting asked out by Majima who mistook her for a cabaret girl, getting scouted by X into the 17th(seiyuu joke) Task Force, Dante commenting on her age(again, seiyuu joke), and Erica exclaiming that she has awakened to the power of justice(Valkyrie's voice changes to Robelia's voice here...again, seiyuu joke).
I'm not sure why people ship these two (haven't played PXZ2, still haven't finished the original), but it's goddamned adorable.
I think it actually started in the first crossover game that featured the two, Namco x Capcom. But as that game was never localized in North America, it's not as well known a ship as it is in the east.
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