Start by making the dough. In a large mixing bowl, add the milk, yeast, and 1 tablespoon of sugar. Wait for about 10 minutes for it to start to foam.
Add sugar, egg, melted butter, and egg. Stir until completely combined.
Using a dough hook, add the flour slowly, allowing it to mix at low speed until the dough starts to come together.
Once mixed, increase speed to medium and knead it until dough forms into a ball. Place the dough in a large oiled bowl and cover with a damp towel. Let the dough double in size for about an hour.
Once the dough has been raised, remove and roll the dough out on a floured surface until it is 1/2 thick. Using a circle cutter or a wide mouth mason jar, cut 10-12 donuts out. Using a smaller hole cutter, punch out a hole in each donut.
Place donuts on a rack and cover with plastic wrap. Allow the donuts to rise for about 20 to 30 minutes.
Spray the air fryer basket with cooking spray. Place two donuts in the basket leaving room to expand. Spray the donut with cooking spray and cook at 350 degrees F, air fryer setting for 4 minutes on each side.
Remove donuts, and using a fork, dip the donuts halfway into the frosting. Place back on the rack to let sit; it will harden as it dries.