How to Make It
Heat sausage in a large nonstick skillet over medium-high. Cook, crumbling with a spoon and stirring often, until cooked through, 8 to 10 minutes. Add jalapeños, and cook, stirring often, until slightly softened, 3 minutes. Reduce heat to low, and stir in cream cheese until melted. Remove from heat, and stir in Cheddar cheese. Set filling aside.
Place flour in a shallow bowl. Stir together eggs and 2 tablespoons water in a second shallow bowl. Place breadcrumbs in third bowl. Dredge each mushroom lightly in flour, shaking off any excess. Dip mushroom in egg, and dredge in breadcrumbs, pressing lightly to adhere to mushroom. Repeat with remaining mushrooms.
Fill each coated mushroom with about 2 heaping teaspoons of filling.
Preheat air fryer to 390°F. Lightly coat fry basket with cooking spray. Add about 6 mushrooms to basket at a time; cook until tender and golden, about 8 minutes per batch.