In a medium-sized bowl, combine panko bread crumbs, parmesan cheese, salt, and pepper.
In a separate shallow bowl, whisk the egg.
Dip each chicken nugget into the egg mixture, followed by a coating of the panko bread crumb mixture.
Spray the air fryer basket with avocado oil cooking spray, or any other cooking spray with a high smoke point. Keeping space between each nugget, line them in the tray in a single layer.
Air fry at 390°F for about 5 minutes. Flip the nuggets over. Air fry for an additional 4 minutes or so, depending on the size of the chicken pieces.