Mix paprika, black pepper, cumin, turmeric, lemon juice, and salt in a bowl. Add paneer cubes and toss gently to coat in the spice mix.
Beat the egg in a small bowl. Put wheat flour on one plate and rolled oats on another.
Coat each paneer cube in wheat flour, then dip in the beaten egg, then press into the oats. Press gently with your fingers to help the oats stick. Place on a clean dry plate. Repeat for all cubes.
Preheat the air fryer to 200°C (400°F) for 2 minutes.
Place coated cubes in a single layer in the air fryer basket with space between each. Brush tops lightly with oil.
Cook at 190°C (380°F) for 15 minutes, flipping carefully halfway through.
Remove when golden and the oats are set and crunchy. Serve hot with chutney or a dip of your choice.