Preheat the air fryer: Set to 370°F (188°C). Let it warm while you prep so the toast starts crisping right away.
Make the filling: In a bowl, beat softened cream cheese, powdered sugar, and vanilla until smooth.
Stir in lemon zest if using. For a berry swirl, fold in a spoonful or two of jam.
Assemble the sandwiches: Spread a generous layer of cream cheese mixture on four slices of bread. Top with the remaining slices to make sandwiches.
Press lightly around the edges to help seal.
Mix the custard: In a shallow dish, whisk eggs, milk, cinnamon, nutmeg, granulated sugar, and a pinch of salt until evenly combined.
Dip the sandwiches: Quickly dip each sandwich in the custard, 2–3 seconds per side. Don’t soak. You want the outside coated without drenching the center.
Grease for crisping: Lightly spray or brush the air fryer basket with oil.
Brush each sandwich with melted butter on both sides for extra color and flavor.
Air fry the first side: Place sandwiches in a single layer, leaving space around each one. Cook at 370°F for 5–6 minutes.
Flip and finish: Carefully flip. Brush with a touch more butter if you like.
Cook another 4–6 minutes, until deep golden and crisp, and the center is warmed through.
Serve: Let rest 1 minute. Slice diagonally. Top with powdered sugar, maple syrup, and berries.
Serve hot.
Cook in batches: If making more, keep finished pieces on a wire rack in a 200°F oven to stay crisp.