Meereen says: "...if Meereen leaves play, discard your hand and return each card you placed under Meereen to your hand."
I'm not sure how cards *under* a card would normally behave if the host card leaves play, but thankfully Meereen's text instructs us on what to do in that situation, overriding any default behavior (whatever it would be).
Delayed effects resolve after their condition occurs, so Meereen's delayed effect resolves after Meereen leaves play. Transition between areas is simultaneous, so there is no point in time at which Meereen is no longer in play but not yet in your hand. Therefore, it goes like this:
- Scaling the Wall resolves, Meereen leaves play and enters your hand
- Meereen's delayed effect resolves, you discard your hand, and return cards that were under Meereen to your hand.
The whole interaction is somewhat awkward timing-wise (there is a point in time at which Meereen is no longer in play, but the removed cards are still "under" it), but this is the only interpretation that seems plausible to me in view of Meereen's own wording.