Mix the egg yolk with the feta, parsley, and green onion in a bowl; season with pepper to taste.

Cut each sheet of filo pastry into three strips.

Scoop 1 tsp of the feta mixture on the underside of a strip of pastry. Fold the tips of the pastry over the filling to form a triangle, folding the strip zigzag until the filling is wrapped up in a triangle of pastry. Fill the other strips of pastry with feta in the same manner.

Select the preset program of Preheat to preheat the air fryer.

Brush the triangles with a little oil and place five triangles into the air fryer.

Select Preheat program again and set the time to 3-5 minutes, then press Start/Stop to cook until they are golden brown. Cook the other feta triangles in the same manner.

Serve the triangles on a platter.