Stir the yeast and a pinch of the sugar into the warm milk. Let stand 5–10 minutes, until foamy.
In a large bowl, beat the butter and remaining sugar until light and fluffy. Beat in the eggs one at a time, then the vanilla.
Add the yeast mixture, then the flour and salt. Mix until a dough forms, then knead 8–10 minutes by hand or 5–6 minutes in a stand mixer with the dough hook, until smooth and slightly tacky.
Place the dough in a greased bowl, cover, and let rise in a warm spot 1–1 1/2 hours, until doubled.
Punch down the dough and divide into 8 equal pieces, about 100 g each. Shape into smooth balls and set each on a parchment square cut to fit your air fryer basket.
For the topping, mix the flour, powdered sugar, butter and vanilla into a smooth paste. Tint portions with gel coloring if desired.
Divide the topping into 8 pieces. Press or roll each into a 1/8-inch-thick round, wide enough to cover the top of a dough ball.
Flatten each dough ball slightly. Press a topping round firmly on top, then score a shell pattern into the topping only.
Cover loosely and let rise 45 minutes–1 hour, until puffy. Refrigerate any that won't fit in the first batch for the last 15 minutes.
Preheat the air fryer to 320°F for 3 minutes. Place 3–4 conchas in the basket on their parchment, 1 inch apart.
Air fry 10–13 minutes, until the bottoms are golden and the center reads 190°F. Tent loosely with foil if the tops darken early.
Cool on a wire rack at least 10 minutes. Repeat with the remaining conchas.