Prepare a baking sheet with a silicone baking mat, spray with oil spray.
In a medium saucepan over medium-high heat, add water, butter, sugar, and salt. Bring to a boil.
Reduce heat to medium-low, add flour and stir constantly until the the dough comes together and is smooth. Transfer dough to a mixing bowl. Let cool for 4 minutes.
Add eggs and vanilla and mix with an electric mixer until dough comes together. It will look kind of like thick, sticky mashed potatoes. Transfer dough to a piping bag fitted with a large star tip (like Wilton 1M).
Pipe dough onto the prepared baking sheet in 4-inch lengths, cutting the end with scissors. Then refrigerate for 30 minutes, or up to an hour.
Carefully transfer churros with a cookie spatula to the air fryer basket, leaving about 1/2 inch between churros. If you have a rack for your air fryer basket, you can cook two layers at the same time. Spray churros with oil spray.
Air fry at 375˚F/191˚C for 8-10 minutes, until golden brown. (Cooking time may vary depending on the air fryer.)
In a shallow bowl, combine the sugar and cinnamon. Immediately after air frying, dump the churros into the cinnamon-sugar mixture and roll or toss to coat. Serve fresh and warm.
Notes
Chocolate Dipping Sauce: Add 6 tablespoons chocolate chips and 1/4 cup heavy cream to a microwave-safe bowl. Microwave in 30-second increments, stirring in between, until smooth.