In a saucepan, combine water, butter, sugar, and salt. Bring to a light boil.
Reduce heat, stir in flour quickly until dough forms and pulls away from sides.
Let the dough cool for 5 minutes. Then stir in egg and vanilla until smooth (use elbow grease or a sturdy spoon).
Scoop or pipe small bite-sized dollops onto parchment. Freeze for 10–15 minutes.
Preheat air fryer to 375°F (190°C). Spray basket with oil.
Place frozen churro bites in basket without crowding. Air fry for 7–8 minutes until golden brown.
Mix cinnamon and sugar in a bowl. Roll warm churro bites immediately in coating and serve hot.