In a large saucepan, boil a batch of water, large enough to cover the scallops. And once the water is boiling, add the scallops, cook for about 5 minutes, just enough for them to become opaque.
Drain the scallops.
Then make the sauce: In a small frying pan, add the butter, over low heat, mix in the flour, to make a rue, then add the milk, and about 1 cup of water, continue to simmer until the sauce has thickened. Mix in the grated cheese, lemon juice, and lemon zest. Then toss in the scallops and fry for about 2 minutes.
Then place the scallops and the sauce into the shells.
In a small bowl, mix the bread crumbs and melted butter. Mix well.
Drop the melted butter/bread crumb mixture over the scallops. Sprinkle with some fresh diced parsley (optional)
Place the shells into the air fryer basket or tray,
Then set the air fryer temperature to 300 degrees F, air fryer setting, for 5 minutes, or until the bread crumbs turn golden brown.
Plate, serve, and enjoy!