Preheat the air fryer to 375°F (190°C).
In a medium bowl, combine the softened cream cheese, shredded cheddar cheese, chopped jalapeños, garlic powder, onion powder, smoked paprika, salt, and black pepper. Mix until well combined.
Using a sharp knife, carefully cut a pocket horizontally into the thickest part of each chicken breast, being careful not to cut all the way through.
Stuff each chicken breast pocket evenly with the jalapeño cream cheese mixture.
In a shallow bowl, whisk together the egg and milk.
In another shallow bowl, combine the panko breadcrumbs and grated Parmesan cheese.
Dip each stuffed chicken breast first into the egg mixture, allowing excess to drip off, then coat thoroughly with the breadcrumb mixture, pressing gently to adhere.
Lightly spray both sides of the coated chicken breasts with cooking spray.
Place the chicken breasts in a single layer in the air fryer basket, making sure they do not touch.
Cook for 9 minutes, then carefully flip the chicken breasts and cook for an additional 9 minutes or until the chicken reaches an internal temperature of 165°F (74°C) and the coating is golden brown and crispy.
Remove the chicken from the air fryer and let rest for 5 minutes before serving.