Does a return air cavity in a wall need to be lined?
In terms of sealing a return vent, it is sufficient that the drywall and studs are compressed to create a channel in the wall. No need to caulk the corners, unless there are gaps. No metal lining needed.
For wall to floor transitions you can cut sheet metal to create a custom fitting (box), and seal its metal seams with tape or mastic duct sealant. Lip the metal over the drywall and screw it through the drywall into the stud. The grill will cover this. Screw the other end of the box to the return duct.
Most return in-takes I have seen have no additional sealing. There is a grill in the drywall, a cut-out in the bottom plate, and a blocking horizontal stud behind the drywall above the opening. Sometimes there is a metal return air box, but no additional sealant.
In stead of lining a drywall channel (because it has gaps and cracks), you can use round ducts and squeeze it into an oval or ellipse to fit in the wall cavity (e.g. a 8&quot; duct in 2x4 framing). Since this is more restricting than a rectangular duct/channel formed by the drywall and studs, you'll have to calculate the area of the oval's cross section to make sure is sufficient for the required air flow.

Image from http://www.ductworkinstallation.com