Arrange the biscuits in a single layer in the air fryer basket. Air fry at 330°F for 7 to 9 minutes until golden. Keep warm.
In a large skillet over medium heat, cook the sausage, breaking it into small crumbles, for 6 to 8 minutes until browned. Do not drain.
If the pan has less than 3 tablespoons of fat, add the butter. Sprinkle the flour over the sausage and stir constantly for 1 minute.
Pour in 1 cup of cold milk while stirring. Add the second cup and stir until smooth. Add the remaining milk a little at a time until the gravy coats a spoon but still flows.
Reduce heat to medium-low and simmer 3 to 5 minutes, stirring often, until thickened.
Stir in the black pepper, salt, and cayenne. Taste and add more pepper as needed.
Split the warm biscuits, lay them open-faced on plates, and ladle the gravy over the top. Finish with more black pepper.