1. Preheat a 7.3L capacity air fryer to 200°C for 3 minutes.
2. Cut each pastry sheet into nine 8cm squares. Spoon 1½ teaspoons of Nutella and 1 teaspoon of hazelnuts onto the centre of each square. Brush the edges of the pastry with a little egg. Fold the pastry over to form a triangle and enclose the filling. Using a fork, press the edges together to seal.