Crush the Oreos into fine crumbs in a food processor or a sealed zip-top bag.
Beat the cream cheese, sweetened condensed milk and powdered sugar until smooth.
Lay a wrapper like a diamond. Add a heaping tablespoon of filling to the center and sprinkle with about 1 tablespoon of crushed Oreos.
Brush the edges with beaten egg. Fold the bottom corner over the filling, fold in the sides, roll tightly and seal the top corner with egg. Repeat.
Preheat the air fryer to 350°F (175°C) for 2 to 3 minutes.
Spray the basket. Add egg rolls seam side down in a single layer, not touching, and spray the tops.
Air fry for 6 to 8 minutes, flipping halfway, until golden brown and crisp.
Cool 2 minutes, then add toppings and serve.