In a saucepan over medium heat, bring the water, butter, sugar, and salt to a simmer.
Stir in the flour all at once and keep stirring until the dough forms a ball and pulls away from the sides.
Let the dough cool for 5–10 minutes. Then, add in the egg and vanilla and stir (or mix with a hand mixer) until smooth.
Transfer the dough to a piping bag fitted with a large star tip.
Spray your air fryer basket with nonstick spray. Pipe 3–4 inch strips directly into the basket.
Air fry at 375°F (190°C) for 10–12 minutes or until golden brown and cooked through.
While churros are frying, mix sugar and cinnamon in a shallow bowl.
Toss warm churros in cinnamon sugar. Serve immediately.