Final answer:
Malala's family village that they headed to after leaving the Swat Valley is Shangla, as mentioned in the book 'I Am Malala'.
Step-by-step explanation:
The name of Malala's family village that they were making their way to after leaving the Swat Valley is Shangla. In the book I Am Malala: The Girl Who Stood Up for Education and Was Shot by the Taliban, this is the place they headed to after leaving their home in the Swat Valley, a region in Pakistan heavily affected by Taliban insurgency and conflict. Malala and her family sought refuge in the relative safety of Shangla, as Swat Valley became increasingly dangerous.