Preheat the air fryer to 360 degrees F (180 degrees C).
Stir together flour, 2 tablespoons sugar, baking powder, baking soda, and salt in a medium bowl. Cut in butter with 2 knives or pastry blender until mixture resembles coarse crumbs.
Beat egg with a fork in a small bowl. Remove 2 tablespoons egg to another small bowl; set aside. Add buttermilk and vanilla extract to remaining egg; whisk with the fork until combined. Stir into flour mixture until just moistened. Gently stir in blueberries.
Transfer dough to a lightly floured surface. Gently knead until dough is no longer sticky, about 8 to 10 strokes. Pat dough into a 6-inch circle. Cut into 8 wedges, without separating, dipping the knife in flour between cuts.
Combine remaining 2 tablespoons sugar and orange zest in a small bowl. Brush top of dough with reserved egg and sprinkle with sugar mixture. Separate dough wedges and carefully arrange them, using a small wide spatula, in a single layer in the fryer basket, in batches if necessary.
Cook scones until golden brown, about 6 minutes. Serve warm.
Sour milk can be used in place of buttermilk. Frozen blueberries can be substituted for fresh.
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