Preheat air fryer to 400 degrees F (200 degrees C).
Add egg to a shallow bowl. Combine almond flour, Parmesan cheese, Italian seasoning, salt, and pepper in a second bowl; mix to combine.
Dredge zucchini first in egg, then in almond flour mixture, and lay out on a baking sheet. Spray zucchini generously with olive oil cooking spray. Spread out zucchini in a single layer in the air fryer basket. You might need to work in batches.