In a small bowl, add milk and sugar. Mix well and let it rest for about 5 minutes so the sugar starts to dissolve.
In a large mixing bowl, add flour, egg, chopped nuts, baking soda, salt, and oil. Mix everything using your fingers until the mixture becomes soft and crumbly.
Now slowly add the milk and sugar mixture, a little at a time (about one tablespoon at a time), and knead it into a smooth and soft dough.
Keep the dough slightly firm, as this helps the biscuits hold their shape and stay soft inside.
Divide the dough into small portions. Roll each portion into a long shape, then cut into about 1 inch pieces using a knife. Repeat for all the dough.
Preheat the air fryer at 350°F (180°C) for 2 minutes.
Place the pieces in the air fryer basket in a single layer. Do not stack them. Brush a little melted butter on top and air fry at 350°F (180°C) for about 15 minutes until lightly golden.