Place the milk, sugar, and salt into a medium saucepan over medium heat and whisk together, then bring to a simmer.
Slowly whisk in the semolina to the milk mixture until it is thickened and smooth, then transfer the mixture into a large bowl and stir in the ricotta, cream, lemon zest, lemon juice, cinnamon, and ground fennel seeds, and one egg.
Roll out the puff pastry to 1/8-inch thickness using a rolling pin, then cut it in to 9 pieces and lay each piece into a cupcake liner. Press the center of the dough into the liner, leaving the corners hanging over the edge.
Place 2 tablespoons of filling into the center of each dough piece and fold the four corners over it so they meet in the center.
Beat together the remaining egg and 1 tablespoon of water, then brush the top of each pastry with the egg wash and sprinkle with a bit of demerara sugar.
Place the crisper plate into the COSORI Smart Air Fryer basket.
Place 6 of the pastries onto the crisper plate.
Select the Bake function, adjust the temperature to 340°F and time to 14 minutes, and press Start/Pause.
Remove the pastries when done, let cool for 5 minutes, then serve. Repeat the baking process as needed with remaining pastries.