Unroll the puff pastry on a lightly floured surface and cut it into 6 equal rectangles.
Spread about 1 tablespoon of nutella across the center of each rectangle, leaving a 1/2-inch border on all sides. Arrange the banana slices in a single line over the nutella.
Roll each rectangle up from the long side, enclosing the filling. Pinch the seam to seal and tuck the ends under. Brush each roll with the beaten egg.
Preheat the air fryer to 350F. Place the rolls seam-side down in the basket, leaving space between each. Air fry for 10-12 minutes until the pastry is puffed, flaky, and deep golden brown.
Let cool for 3-4 minutes, then dust with powdered sugar and a light sprinkle of cinnamon. Serve warm while the nutella is still melty inside.