Scramble eggs with milk, salt, and pepper in a pan over medium heat until just set. Remove from heat and mix in cooked sausage, hash browns, green chilies, and half the cheese.
Lay tortillas flat and divide the filling among them, placing it in the center. Sprinkle remaining cheese on top of each.
Fold the sides of each tortilla in, then roll tightly from bottom to top to form burritos. Make sure the seam is tucked underneath.
Preheat air fryer to 370°F. Spray the basket and all sides of the burritos with cooking spray.
Place burritos seam-side down in the air fryer basket in a single layer. Air fry for 8-10 minutes, flipping halfway through, until golden and crispy.
Let cool for 2 minutes before serving with salsa, sour cream, and avocado.