Unroll the dough on a lightly floured surface and cut it into 16 squares, about 2 by 2 inches.
Place a cube of brie in the center of each square and top with 1 teaspoon of preserves. Add thyme or pecans if using.
Bring the four corners to the center and pinch to seal, then pinch the seams closed. (Or fold into a triangle and press the edges with a fork.)
Whisk the egg with the water. Brush each bite all over, roll in panko, and press gently so the crumbs stick. Pinch the seams once more.
Preheat the air fryer to 375°F (190°C) for 3 minutes. Spray the basket or line it with perforated parchment.
Arrange the bites in a single layer without touching. Air fry for 8 to 10 minutes, until the panko is deep golden and a little cheese bubbles at the seams. Cook in two batches if needed; flip at 6 minutes only if the tops are browning faster than the bottoms.
Rest 2 minutes, then serve warm with honey, cranberry sauce, or balsamic glaze.