Preheat an air fryer to 400 degrees F (200 degrees C).
Combine egg and honey in a long, narrow dish and beat together. Combine panko and Parmesan cheese in a separate plate. Coat each asparagus stalk in egg mixture and roll in panko mix to coat.
Place 6 spears in the air fryer and cook to desired brownness, 4 to 6 minutes. Repeat with remaining spears.
Combine mustard, yogurt, and cayenne pepper in a small bowl. Serve dipping sauce alongside asparagus spears.