Place the panko breadcrumbs, parmesan, and old bay seasoning in a food processor. Pulse until a fine, sand-like consistency.
Place the all purpose flour, egg, and panko mixture in separate shallow dishes.
Dip the shrimp into the flour, coating all sides. Remove, shake off the excess, and dip in the egg, fully coating. Remove, shake off the excess, and dip in the panko mixture coating all sides. Set aside while you do the remaining shrimp. I like to set them on a cooling rack, but this isn't required.
Very lightly spray your basket with avocado oil spray. Place your shrimp in one layer in your air fryer basket. Do them in batches if needed to avoid overcrowding and stacking. Spray the tops lightly with avocado oil spray.
Cook in the air fryer at 400°F for 5 minutes.
Open basket, flip your shrimp over, spray lightly with avocado oil spray again and cook an additional 3 minutes.