Preheat air fryer to 300°. Whisk egg with water. On a lightly floured surface, roll each biscuit into a 6-in. circle; cut each into 4 wedges. Brush lightly with egg mixture; top each wedge with 1 teaspoon Nutella. Bring up corners over filling; pinch edges firmly to seal., In batches, arrange biscuits in a single layer on ungreased tray in air-fryer basket. Cook until golden brown, 8-10 minutes, turning once. Dust with confectioners' sugar; serve warm.