In a large mixing bowl, combine the all-purpose flour, granulated sugar, baking powder, baking soda, salt, and ground nutmeg. Whisk them together thoroughly until well incorporated.
In another bowl, whisk together the sour cream, large egg, vanilla extract, and melted butter until smooth without lumps.
Gently pour the wet mixture into the bowl with the dry ingredients. Stir carefully until just combined, avoiding overmixing.
Lightly dust a clean work surface with flour. Transfer the dough to the floured surface and roll it into a log approximately 1-inch thick. Cut the log into 1-inch pieces and roll each piece into a ball.
Preheat the air fryer to 350°F (175°C).
Lightly spray the air fryer basket with cooking spray. Arrange the formed donut holes in a single layer in the basket.
Air fry the donut holes for about 6-8 minutes, checking them at the 6-minute mark to prevent overcooking.
In a small bowl, mix the powdered sugar and cinnamon together. Toss the warm donut holes in the sugar-cinnamon mixture.
Plate the warm donut holes on a serving platter and enjoy immediately.
Notes
For an elegant touch, serve with melted chocolate or caramel sauce for dipping.