Whisk the flour, baking powder, sugar, and salt together in a large bowl.
Add the cold cubed butter. Cut it in with a pastry blender or your fingertips until the mixture resembles coarse crumbs with pea-sized pieces of butter still visible.
Pour in the buttermilk and stir just until the dough begins to come together. It will look shaggy — do not overmix.
Fold in the shredded cheddar, diced apple, and cooked bacon until just distributed.
Spray a scone pan with cooking spray and press the dough into the molds, filling the corners.
Whisk the egg with the cold water and brush over the tops.
Air fry at 320°F on the air fryer setting for 12 to 15 minutes, until golden and a toothpick inserted in the center comes out clean.
Rest 5 minutes in the pan, then turn out. Serve warm.