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Drain and squeeze all the water out of the thawed spinach and set it aside. Mix the mozzarella cheese, ricotta cheese, egg, oregano, basil, nutmeg, salt and freshly ground black pepper together in a bowl. Stir in the chopped spinach.
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While building the phyllo pockets, always keep the dough sheets you are not working with covered with plastic wrap and a damp clean kitchen towel. Remove one sheet of the phyllo and place it on a flat surface. Brush the phyllo sheet with melted butter and then layer another sheet of phyllo on top. Brush the second sheet of phyllo with butter and layer a third sheet of phyllo on top. Cut the layered phyllo sheets into 4 strips, about 5-inches wide.
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Place roughly 1/3 cup of the spinach filling at the end of each strip of dough. Fold the bottom right corner of the strip over the filling towards the left edge of the strip to make a triangle. Continue to fold the phyllo dough around the spinach as you would fold a flag, making triangle after triangle. Brush the outside of the phyllo triangle with more melted butter and set it aside until you’ve finished the 4 strips of dough, making 4 triangles.
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Pre-heat the air fryer to 400ºF.
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Transfer the first two phyllo triangles to the air fryer basket and air-fry at 400ºF for 5 minutes. Turn the triangles over and air-fry for another 5 minutes.
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While the first batch of triangles is air-frying, build another set of triangles and air fry in the same manner. You should do three batches total. Once you have air-fried all the triangles, they can be warmed in the air-fryer for a minute or two just before serving if you like.
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To make the Greek salad, combine all the vegetables in a bowl. Whisk the vinaigrette ingredients together and then dress the salad, tossing until all the vegetables are evenly coated.
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Serve 1 to 2 warm triangles per person with the cool Greek salad on the side.