Preheat air fryer to 350°F for 2–3 minutes. Lightly grease silicone donut mold with cooking spray.
In a large bowl, whisk together flour, sugar, baking powder, baking soda, pumpkin pie spice, cinnamon, nutmeg, and salt.
In a separate bowl, whisk pumpkin puree, egg, milk, melted butter, and vanilla until smooth.
Pour wet ingredients into dry. Stir gently until just combined — do NOT overmix. A few small lumps are fine.
Transfer batter to a piping bag or zip-top bag with corner snipped. Pipe into greased donut cavities, filling each ¾ full.
Place donut mold in air fryer. Air fry at 350°F for 8–10 minutes, until a toothpick in the center comes out clean. Check at 8 minutes.
Cool in mold 2–3 minutes, then turn out onto a wire rack. Let cool until slightly warm (not hot) before glazing.
Whisk glaze ingredients in a small bowl, adding milk one tablespoon at a time until smooth and pourable.
Dip top of each donut into glaze. Let excess drip off. Set on rack 5–10 minutes. Dip a second time for a thicker glaze. Serve warm.