Combine the milk, sugar, and yeast in a large bowl. Allow the mixture to sit for 5 minutes, or until the yeast becomes foamy on top. If your yeast doesn’t foam, it’s likely dead. Toss it and try again with a fresh packet.
Add the melted butter, egg, and vanilla. Whisk to combine.
Add the flour and cinnamon and stir until a shaggy dough forms.
Transfer the dough to a lightly floured surface and knead gently until a smooth dough forms-- about 2-3 minutes.
Place the dough in a lightly oiled bowl and set it in a warm spot to rise until doubled in size-- about 2 hours.
Once the dough has risen, place it on a lightly floured surface (don’t punch it down) and cut it into 20 small pieces. Shape the dough into balls and place them on a baking sheet to rise for another 45 minutes.
Once the dough has risen slightly, place a few doughnut holes in the air fryer, give them a light mist/spray of oil and cook at 375F for 6-8 minutes, or until they’re golden brown on the outside.
Repeat with the remaining doughnut holes.
**See below for coating