Place flour and salt in a large mixing bowl and stir.
In a small bowl, combine sugar, lukewarm milk, and instant yeast. Stir and set aside for 5 minutes.
Add to the flour the yeast mixture, the melted butter, the olive oil, and the egg. Start mixing first with a wooden spoon and then use your hands to make a dough. Knead shortly to distribute all ingredients well into the dough.
Alternatively, use a stand mixer to mix the ingredients at a low speed until making a dough.
Place the dough in the bowl. Cover it with baking paper and then wrap the bowl with 1-2 kitchen towels. Leave it in a warm place for about 1,5 h. The dough should almost double its size.
Roll the dough on a parchment paper sheet, making a rectangular shape (or as rectangular as possible), about 1/2 inch thick.
Spread the filling evenly on top of the rectangular. Start rolling from the larger side, using the paper as support. Roll up the rectangular into a tight log. Shape it with your hands to become as even as possible.
Cut the log into 7 equal rolls using a sharp knife.
Line the air fryer with a sheet of parchment paper as wide as its basket. Arrange the rolls one next to another, preferably not touching the sides of the basket.
Bake the rolls for 20-25 minutes at 350ºF/ 180ºC or until golden brown. Check them at the 15th minute.
Optionally top them with a glaze before serving.