Preheat a 6-quart air fryer to 325˚ F. Line the air fryer basket with foil and coat with cooking spray. Arrange the phyllo cups in the basket in an even layer. Divide the chorizo, scallion and cheese among the cups.
Whisk the eggs with the heavy cream and 1/2 teaspoon each salt and pepper; pour into the phyllo cups. Cook until the eggs are puffed, 5 to 7 minutes.