Preheat air fryer to 375°. Spray air fryer basket with vegetable-based cooking spray.
In a medium-sized bowl, combine chicken, barbecue sauce, red onion and bell peppers.
Roll out thawed pie shells onto clean, lightly floured surface.
Cut pie shell in half by length and by width, so that you have four equal quarters.
Use a spoon to scoop a spoonful of the filling into each one of the pie quarters.
Fold the pie quarter in half lengthwise, in order to create the meat pocket, sealing in the filling.
Use a pastry brush to brush the egg over the pie dough.
Arrange the hand pies in a single layer in the air fryer basket and cook for 8 - 10 minutes or until crust is a light golden brown.
Remove from air fryer immediately and top with grated cheddar cheese. Serve hot.
