Heat milk up to roughly 110 degrees (microwave milk for 1 min. 15 secs in microwaveable bowl or measuring cup).
Pour milk into bowl, add yeast. Allow to proof (yeast activation) for a couple minuets. Add in sugar and egg.
Add baking powder, salt, and baking soda. Slowly add in flour, mixing until dough leaves side of the bowl. Knead for 3 minutes.
Spread out powdered sugar and roll out dough until it is 1/2 an inch thick. Use a large mouthed cup and cut out circles. Press thumb into the middle to make a hole, stretching the hole to desired size.
Preheat air fryer for at least 3 minutes at 350 degrees.
Spray air fryer baskets with cooking spray. Place donuts into air fryer basket and spray donuts with cooking spray.
Cook donuts for 5 minutes.
Remove from basket and allow to cool.