In a large pan over medium heat, heat the olive oil and onion. Cook for 5 minutes, until onions are fragrant and translucent. Add chopped baby spinach and cook, stirring occasionally, for 3 to 5 minutes until the spinach is wilted. Season with salt and pepper. Mix in the red peppers and basil, and transfer to a small bowl. Divide pizza dough into 8 pieces and roll each into a small round, about 1/4-inch thick or less. Fill the center of each round with a spoonful of marinara, the veggies, and a few pieces of mozzarella. Fold the round in half, crimping the edges with a fork so they're closed and a half-moon shape is formed. Whisk egg in a small bowl and brush on top of each calzone. Set the air fryer to 370°F, and place the calzones in the fryer basket in a single layer, working in batches if needed. Fry for about 10 minutes, flipping over halfway through. Calzones are done when golden brown. Serve with extra marinara sauce.