Attach drywall directly to framed soffit without plywood/osb
There is no problem attaching drywall directly to the framing. Drywall is more heat resistant than wood and the temperatures in conventional HVAC are not extreme enough to be an issue.

The only other consideration is whether you want insulation around the ductwork to improve the efficiency of the system. If you do, either fiberglass batts or foam panels could be inserted between the 2x4s before you install the drywall.