In a large bowl, whisk together the flour, sugar, baking powder, cinnamon, nutmeg, and salt.
Add the cold cubed butter. Work it into the flour with your fingertips or a pastry cutter until the mixture resembles coarse sand with some pea-sized pieces of butter still visible.
Add the diced apple and toss until the pieces are coated in the flour mixture.
In a small bowl, whisk together the egg, applesauce, and cream. Pour into the dry ingredients and stir with a wooden spoon just until a shaggy dough forms. Do not overmix.
Turn the dough onto a lightly floured surface and pat it into a disc about 6 inches wide and 1 inch thick. Cut into 8 wedges, pressing the knife straight down.
Line the air fryer basket with parchment paper. Arrange the scones with at least 1 inch of space between them, working in batches. Brush the tops with cream.
Air fry at 330°F for 13 to 15 minutes, until risen and golden brown.
Cool on a wire rack for 10 minutes. If glazing, whisk the powdered sugar, milk, and vanilla together and drizzle over the fully cooled scones.