Preheat the air fryer to 400°F for 3 to 5 minutes.
In a large bowl, whisk the egg, milk, vanilla, and vegetable oil.
Stir in the pancake mix until smooth. The batter should be thick enough to cling to a spoon. Add more mix 1 tablespoon at a time if it is runny.
Line the preheated basket with parchment paper and lightly spray it with oil.
Using a fork, dip each Oreo in the batter to coat both sides. Let the extra drip off, then place 6 Oreos on the parchment with space between them.
Set the air fryer to 370°F. Cook 4 minutes, flip, and cook 3 more minutes until golden.
Move to a wire rack. Repeat with the remaining Oreos.
Dust with powdered sugar and add sauce or sprinkles if you like. Serve warm.