Bring a pot of water to a rolling boil. Gently lower 4 eggs into the water and cook for exactly 6 minutes for jammy, slightly soft-set yolks. Transfer immediately to an ice bath and let sit for 5 minutes, then peel carefully.
In a bowl, combine the pork sausage, fresh thyme leaves, ground sage, garlic powder, salt, black pepper, and ground nutmeg. Mix with your hands until the seasonings are evenly distributed. Divide the mixture into 4 equal portions.
Set up a breading station with three shallow bowls. Place the all-purpose flour in the first, beat the remaining 2 eggs in the second, and add the panko breadcrumbs to the third.
Flatten each sausage portion into a thin, even patty in the palm of your hand. Place a peeled egg in the center and carefully wrap the sausage around it, pressing the seams to seal completely. Make sure there are no gaps or thin spots.
Roll each sausage-wrapped egg in flour, shaking off the excess. Dip into the beaten egg, then press firmly into the panko breadcrumbs until evenly coated on all sides.
Preheat the air fryer to 375F. Spray the basket with cooking spray, then place the scotch eggs inside with space between each one. Spray the tops generously with cooking spray.
Air fry for 14 to 16 minutes, carefully turning the scotch eggs halfway through, until they are deeply golden brown and the sausage is cooked through. Let rest for 2 to 3 minutes before slicing in half to serve.