Prepare bavarian cream. Add pudding mix, heavy cream, creamer, whole milk, vanilla, and powdered sugar to a large mixing bowl or stand mixer. Beat on high speed until thickened.
Add bavarian cream to a frosting bag, or use a ziplock and cut the corner.
Remove biscuit dough and roll each circle out to ¼” thick.
Gently squeeze the frosting bag to add 2 tbsp of bavarian cream to the center of the biscuit. Bring the edges of the dough over the cream to the center and pinch to seal.
Preheat air fryer to 390 degrees F, air fryer setting, for 5 minutes.
Lightly spray the air fryer basket with cooking spray.
Add the donuts to the basket and cook in a single layer for 6-8 minutes.
Remove from the basket and let cool for 5 minutes.
To Melt the chocolate. Place a glass mixing bowl into a saucepan with 3” of water over medium heat. Cook, often stirring until chocolate is smooth, about 5 minutes.
*Optional* Use a knife to make a small hole in the side of the donut. Place the tip of the frosting bag into the donut and pinch to fill a bit more.
Dip the tops of the donuts into melted chocolate and use a spatula to spread the chocolate evenly. Let the chocolate set, about 2 minutes.
Plate, serve, and enjoy!