In a small bowl, mix together the sugar, yeast, and salt.
In a small pan, add the milk and shortening over medium heat and cook for about 2-3 minutes or until shortening just melts, stirring continuously.
Remove the pan from heat and set aside until just warm.
In the bowl of a stand mixer, attached with the dough hook, add in the yeast mixture and milk mixture and mix well. Set aside for about 10 minutes.
Add the egg and 1½ cups of flour and mix on low speed until combined.
Gradually add the remaining flour and blend until non-sticky dough ball forms.
Place the dough into a lightly greased bowl and turn to coat.
With a clean kitchen towel, cover the bowl and set aside for about 1-2 hours or until doubled in size.
Grease the Air Fryer Basket with cooking spray and then slide inside.
Adjust the temperature of Air Fryer to 300 °F to preheat for 5 minutes.
Make 2 golf ball sized balls from the dough and place on a lightly floured surface.
With a rolling pin, roll each ball into a circle and coat both sides with a little oil.
After preheating, arrange the both rolled circles into the greased Air Fryer Basket in a single layer.
Slide the basket into Air Fryer and set the time for 9 minutes.
After cooking time is finished, remove the flatbreads from Air Fryer and place onto a platter.
Repeat with the remaining dough.
Serve warm.