Preheat the air fryer to 350 degrees.
In a small bowl, lightly whisk the egg and milk. Set aside.
Unfold the pastry sheet on the work surface lightly dusted with flour. Roll the pastry sheet into an 11x10-inch rectangle. Cut the pastry sheet in half lengthwise.
Take one half and place it in front of you so that the longer side is facing you. Spread 1 tablespoon of mustard on the pastry, leaving the edges mustard-free. Take the rest of the mustard and spread it on the 2nd half.
Add the bacon strips on top of the mustard, leaving a border all the way around. If the strips are too long, trim the excess off. (See note)
Top the bacon with the other half of the pastry sheet, mustard-side down.
Slice the pastry into 10 strips. Take a strip and twist it with your hands about 3 times. Ensure you pinch the edges firmly close. (See note)
Continue until all strips are twisted and ends are pinched. Brush the top with the egg wash.
Spray the air fryer basket with cooking spray and add a few strips. Cook for 6-8 minutes. Continue until all strips are cooked, and enjoy!