Preheat the air fryer to 375°F (190°C) for 5 minutes.
In a medium saucepan, combine water, butter, sugar, and salt. Bring to a boil over medium-high heat. Once boiling, reduce the heat to medium-low.
Add flour to the saucepan, stirring constantly with a rubber spatula, until the dough forms and becomes smooth. This should take about 1-2 minutes.
Remove from heat and allow the dough to cool for 4 minutes.
Add eggs and vanilla extract to the dough. Mix well using an electric hand mixer or stand mixer until the dough comes together. The mixture will resemble gluey mashed potatoes.
Transfer the dough to a large piping bag fitted with a star-shaped tip (like a Wilton 1M).
Pipe churros onto a parchment-lined baking sheet into 4-inch lengths and cut the ends with scissors.
Refrigerate the piped churros for 1 hour to set and hold their shape.
Lightly spray the air fryer basket with oil. Transfer churros into the basket, leaving about 1/2-inch space between them. Cook in batches if necessary.
Spray churros lightly with oil and air fry for 10-12 minutes or until golden brown and crispy.
In a shallow bowl, combine the sugar and cinnamon for the coating.
As soon as the churros come out of the air fryer, toss them in the cinnamon-sugar mixture until fully coated.
Serve warm with your favorite dipping sauce like Nutella, chocolate sauce, or caramel.