Set out the pie dough to bring it to room temperature.
In a large bowl, whisk together the sugar and egg until smooth.
Add the pumpkin, cinnamon, vanilla, and pumpkin pie spice. Whisk until well blended.
Unroll the pie dough and use a 3-inch round cookie cutter to cut out 20 circles.
Place 10 of the pie dough circles on a flat surface. Spoon a small amount of pumpkin mixture into the center of each pie circle.
Dip your finger in water and run it around the edge of each pie dough circle. Place the remaining 10 circles on top of the pumpkin mixture.
Use a fork to seal the pumpkin pies by pressing the fork around the edge of each circle.
Place three to four pies in the basket of the air fryer, making sure the pies don’t touch as they cook.
Cook the pies at 360 degrees for 14 to 16 minutes, flipping the pies halfway through. Continue cooking in batches until all the pies are cooked.
When the pies are finished cooking, make the glaze by whisking together the powdered sugar, cinnamon, vanilla, and one tablespoon of milk. To thin the glaze, add additional milk, if needed.
Drizzle the glaze over the top of each pie. Allow the glaze to set before serving.