Beat the egg yolk in a bowl and mix the feta, parsley and green onion; season with pepper to taste.
Cut each sheet of filo pastry into three strips.
Scoop a full teaspoon of the feta mixture on the underside of a strip of pastry. Fold the tip of the pastry over the filling to form a triangle, folding the strip zigzag until the filling is wrapped up in a triangle of pastry. Fill the other strips of pastry with feta in the same manner.
Preheat the AirFryer to 200°C.
Brush the triangles with a little oil and place five triangles in the basket. Slide the basket into the AirFryer and set the timer to 3 minutes. Bake the feta triangles until they are golden brown. Bake the other feta triangles in the same manner.