In a large mixing bowl, whisk together the all-purpose flour, granulated sugar, baking powder, baking soda, salt, and ground nutmeg until well combined.
In a separate bowl, mix the sour cream, egg, vanilla extract, and melted butter until smooth.
Pour the wet ingredients into the dry ingredients and stir until just combined. Be careful not to overmix; the dough should be slightly sticky.
Lightly flour a clean surface and turn out the dough. Roll it into a log about 1-inch thick, then cut the log into 1-inch pieces. Roll each piece into a ball to form donut holes.
Preheat your air fryer to 350°F (175°C).
Lightly spray the air fryer basket with cooking spray. Arrange the donut holes in a single layer, ensuring they don’t touch each other.
Cook in the air fryer for about 6-8 minutes, or until golden brown and cooked through. Check them at 6 minutes to avoid overcooking.
In a small bowl, mix the powdered sugar and cinnamon together. Remove the donut holes from the air fryer and immediately toss them in the sugar-cinnamon mixture while they’re still warm.
Serve warm and enjoy your delightful air fryer donut holes!