Spray your air fryer basket with cooking spray and set it aside.
Unroll the pie dough and cut out 3-inch circles with a glass or cookie cutter to create 10-12 circles.
Place the dough circles into the refrigerator to chill while preparing the filling.
In a small saucepan over medium-high heat, add the apples, melted butter, and brown sugar. Cook for 4-5 minutes, or until the apples soften and the butter mixture thickens.
Pour the cooked apples into a medium bowl, along with the cheddar cheese, cinnamon, nutmeg, vanilla, and cornstarch. Toss together to combine.
Remove the dough circles from the fridge and line them on a cutting board. Add 2 tablespoons of the apple cheese mixture to the center of half of the dough circles.
Place the remaining dough circles over the top of each circle with filling, and use a fork to seal the seams.
Slit 2-3 small steam vents in the center of each mini pie.
Whisk the egg with the water and lightly brush each pie with the mixture.
Place several pies in your air fryer basket and cook on the air fryer setting at 350 degrees F, air fryer setting, for 8-10 minutes, or until the dough is cooked through and golden brown.
Allow cooling for several minutes before serving.
Plate, serve, and enjoy!