Preheat air fryer temperature to 375 degrees F, for 3-5 minutes
Cut 2 cans Cinnamon Rolls into ½” pieces, place into a bowl and set aside.
In a large mixing bowl, whisk the 2 large eggs and 1/4 cup butter. Add 3/4 cup eggnog, 1 tablespoon vanilla extract, chopped 1/2 cup walnuts, and 1 teaspoon baking soda and stir to combine, careful not to over mix.
Add cinnamon rolls and toss to coat
Pour mixture into a well greased Bundt pan. Cover with foil.
Place into the air fryer and set cook time for 18 minutes. Remove foil and cook for 2 more minutes.
While that bakes, make the frosting. In a medium mixing bowl, combine 8 ounces cream cheese, 1/2 cup powdered sugar,1/2 teaspoon ground nutmeg, and 1 1/2 teaspoon ground cinnamon. Use a hand mixer on low speed and mix until smooth. Next, slowly add 1/2 cup eggnog while continuing to mix on low.
Remove monkey bread from the air fryer and let cool for 5 min. Carefully remove from the Bundt pan by flipping upside down onto your desired serving tray
Drizzle cream cheese frosting over monkey bread and enjoy!