In a large bowl, whisk together the flour, baking powder, salt, cinnamon, and nutmeg. In a medium bowl, lightly beat egg. Whisk in brown sugar, milk, and yogurt, until smooth. Add melted butter and vanilla. Pour wet ingredients into dry ingredients and stir until just combined. Don't over mix.
Pipe or spoon batter in 3-inch silicone donut mold.
Preheat air fryer at 400˚F/204˚C for 2-3 minutes. Place donut mold in air fryer and bake at 330˚F/166˚C for 6 minutes, or until internal temperature of donuts reads above 160˚F/71˚C. Remove from air fryer and let cool for 2 minutes in mold, then carefully remove donuts from the mold.
Dip the rounded side of the donuts into the melted butter, then the cinnamon sugar mixture. Place coated donuts in air fryer for another 2 minutes at 350˚F/177˚C.
For donut bites: Use muffin bites pan, but don't fill the center cavity. Air fry at 350˚F/177˚C for 6 minutes. Cooking time may vary because muffin bites pans vary in size.