Preheat the air fryer to 315 degrees.
In a small bowl, lightly whisk the egg and milk. Put it aside.
Separate the crescent dough into 8 triangles. Put 1 tablespoon of the shredded cheese on the wide end of each triangle and top it with 3 slices of pepperoni.
Fold the dough corners over the filling and roll it up, starting from the wide end. Wrap the dough around the cheese and pepperoni until you reach the other end. Make sure to seal the edges to keep the filling inside while cooking.
Spray the air fryer basket with non-stick baking spray. Brush the tops with the egg wash and put the crescent rolls in the basket, leaving space between them so they're not touching.
Cook for 7-8 minutes or until they're fully cooked.
Take the crescents out of the air fryer and enjoy!