Place a saucepan on medium-high heat. Add the apples, cinnamon, nutmeg, honey, and vanilla. Stir and cook for 2-3 minutes until the apples are soft.
Mix the cornstarch and water in a small bowl. Add to the pan and stir. Cook for 30 seconds.
Allow the filling to cool for at least 5 minutes before loading it onto the empanada wrappers.
Lay the empanada wrappers on a flat surface. Dip a cooking brush in water. Glaze each of the empanada wrappers with the wet brush along the edges. This will soften the crust and make it easier to roll.
Add the apple mixture to each. Add 1 tablespoon of the apple mix per empanada. Do not overstuff. Flatten out the mixture with a spoon.
Close the empanadas. Use a fork to seal the empanadas along the edges by creating indents in the crust. Press the fork down into the crust along the edge of each.
Spritz the air fryer basket with cooking oil. Add the empanadas to the Air Fryer basket. Do not stack the empanadas. Cook in batches if needed.
Use a cooking brush and brush the top of each empanada with the beaten egg (egg wash).
Place the Air Fryer on 400 degrees. Cook for 8-10 minutes or until crisp.
Cool before serving.