Combine the self-rising flour and vanilla yogurt in a large mixing bowl and stir until a dense dough forms. If the consistency appears too wet, incorporate additional flour; if too dry, adjust with more yogurt.
Transfer the dough onto a lightly floured surface. Knead it briefly until it becomes smooth and pliable. Partition into 8 equal segments. Roll each into a rope-like shape and seal the ends to form a donut.
Place parchment paper inside your air fryer basket and arrange 2 to 4 donuts, ensuring at least half an inch of space between each for proper expansion.
Cook in the air fryer at 200°C (400°F) for 7 to 8 minutes or until the exterior is firm. Repeat with the remaining dough.
Allow the cooked donuts to cool entirely. While they cool, sift powdered sugar into a bowl, then gradually mix in water or milk to achieve a smooth, thick glaze.
Dip each cooled donut into the glaze, then set on a wire rack to let excess drip off. Optionally, decorate with sprinkles.