Crush Oreo cookies into fine crumbs using a food processor or by placing them in a Ziplock bag and crushing them with a rolling pin.
In a large mixing bowl, combine the sweetened condensed milk, powdered sugar, and cream cheese together until smooth.
Lay an egg roll wrapper on a clean, flat surface with one corner pointing towards you (like a diamond).
Place a spoonful of the cheesecake mixture in the center of the wrapper. Drizzle with crushed Oreos.
Beat the egg in a small bowl. Brush the edges of the egg roll wrapper with the beaten egg to help seal. Fold the bottom corner over the filling, then fold in the sides, and roll up tightly, sealing the top corner with a bit more beaten egg. Repeat with remaining wrappers and filling.
Preheat your air fryer to 350 degrees F (175°C) for 2-3 minutes.
Lightly spray the air fryer basket with non-stick cooking spray to prevent sticking, or line the air fryer basket or air fryer tray with parchment paper, after preheating. Place the egg rolls in a single layer in the air fryer basket, making sure they don't touch each other. Lightly spray the tops of the egg rolls with non-stick cooking spray to help them crisp up. Set cook time for 6-8 minutes, flipping halfway through, until they are golden brown and crispy.
Drizzle with chocolate sauce, crushed Oreos, whipped cream, or powdered sugar.