In a shallow dish, whisk together sugar and cinnamon, set aside.
Make the Batter:
Place water, unsalted butter, sugar, cinnamon, nutmeg, and salt into a large saucepan and bring to a boil over medium-high heat.
Reduce heat to medium-low and stir in the flour with a rubber spatula, stir constantly until the mixture comes together and is shiny and smooth, with no lumps (a few tiny lumps are ok).
Transfer the mixture to a large mixing bowl, and let it cool for 5 minutes.
Using a hand electric mixer, whisk in vanilla and the egg into the flour mixture until fully combined and smooth. The mixture may start to separate, keep mixing until it's fully combined.
Transfer the mixture to a piping bag fitted with a 1/2 inch star tip.
Put a silicone baking mat or waxed paper on a baking sheet and spray with oil spray.
Pipe churros onto the greased baking mat, into 4-inch lengths, and cut end with scissors.
Refrigerate piped churros on the baking sheet for 1 hour.
Preheat Air Fryer to 375 degrees F.
Carefully transfer churros with a cookie spatula to the Air Fryer basket, leaving about 1/2-inch space between them. Spray churros with oil spray. Depending on the size of the Air Fryer you have to cook them in batches.
Air fry for 10-12 minutes or until golden brown.
Roll in Sugar:
Immediately transfer baked churros to the bowl with the sugar mixture and toss to coat.
Serve warm with your favorite sweet dipping sauce.