Add the milk, butter, and vanilla to your bread machine pan.
Follow this with the flour, yeast, sugar, nutmeg, and cinnamon.
Set your bread machine to the dough setting.
When the dough is ready, remove it from the pan and place it on a floured surface. If it’s a little sticky, add more flour and knead it in. The dough should be pliable and easy to handle.
Divide the dough into 14 equal pieces (see note 3).
Pull the edges of each piece into the middle and pinch together. Then roll into a ball.
Brush each ball with vegetable oil and place them — spaced apart — into an air fryer that has been preheated for a minute or two at 200°C (400°F).
Cook for 2–4 minutes, just until the tops are golden brown. They cook quickly, so keep an eye on them.
Allow to cool for about 5 minutes.
Coat with melted butter and dip into sugar, making sure they’re well coated. Best eaten warm. If not eating immediately, cover or freeze. Enjoy!