Leona is targetable the whole travel time of Zenith Blade. The person hit by Zenith Blade is immobilized the duration of her travel time. Any skill that can stun/knockup a champion will end her travel and free the target from the immobilization. The hardest part is landing said stun in the duration of her travel time (After Zenith blade hits target, not while its still casting). Like you mentioned things like Blitzcrank's Rocket Grab, Amumu's Bandage Toss, Thresh's Flay, Ahri's charm, or even Leona's Solar Flare will stop her movement and free the immobilized target(Ex of how it looks.. video skip to 3:30). This behavior is similar to Zac's Elastic Slingshot or other gap closers that can be interrupted.
The key thing to remember is that these interrupts need to be done during the travel not while Zenith Blade is still being cast. In this video you'll notice the Zenith Blade is still casting when she is grabbed(Its going in a straight line from where she was). If blitz would have waited for her to start moving to the target it would have not had the same result. If done during the cast, the Zenith Blade will still leave the target immobilized until she arrives there or is killed, and when she arrives she will have whatever affect she may have obtained while casting (eg if you use Lulu's whimsey on her while Zenith Blade is casting she will still move but end up at the end location whimsey'd).
If you need to stop her before the cast finishes, then you need something that stops ranged attacks like Yasuo's WindWall.
I'm hesitant to just list out abilities because the list will need to be updated for each new champion, and also people may hit the skill at the beginning of the cast of Zenith Blade instead of after the skill lands and come back to tell me that it doesn't work.