Preheat air fryer to 300°. In a saucepan, heat butter over medium-high heat. Add mushrooms; cook and stir until tender, 5-6 minutes. Stir in flour and 1/8 teaspoon pepper until blended. Gradually add cream. Bring to a boil; cook and stir for 2 minutes or until thickened. Remove from the heat and set aside.
In a bowl, combine egg yolk, onion, 2 tablespoons mushroom sauce, salt and remaining 1/8 teaspoon pepper. Crumble beef over mixture and mix well. Shape into 2 loaves. Unroll crescent dough and separate into 2 rectangles; press perforations to seal. Place meat loaf on each rectangle. Bring edges together and pinch to seal. If desired, brush with beaten egg.
Place Wellingtons in a single layer in greased air-fryer basket. Cook until golden brown and a thermometer inserted into meat loaf reads 160°, 18-22 minutes.
Meanwhile, warm remaining sauce over low heat; stir in parsley. Serve sauce with Wellingtons.