Brush the air fryer basket lightly with a little vegetable oil or line your air fryer basket with a little parchment paper. In two or three batches (depending on the size of your air fryer), load the basket with the pigs in a blanket leaving about an inch between each one. Air-fry at 380°F for 8 to 12 minutes until golden brown turning them over for the last two minutes of cooking.
To make ahead: Cover with plastic wrap and refrigerate up to 6 hours, or freeze in a single layer for 2 hours and then transfer to a zipper sealable plastic bag and store in the freezer for up to 3 months. To air fry – let pigs in a blanket thaw in a single layer on the counter for 30 minutes and then air-fry according to the directions. Do not cook from frozen – allow the pastry to thaw first.
Note: Bake at 400°F for 15 to 17 minutes.