How to Make It
Place spinach and water in a large pot; cook over high, stirring often, until wilted, 5 minutes. Drain spinach; cool about 10 minutes. Press firmly with a paper towel to remove as much moisture as possible.
Stir together spinach, cottage cheese, feta cheese, Parmesan cheese, egg white, zest, oregano, black pepper, salt, and cayenne pepper in medium bowl until well blended.
Place 1 phyllo sheet on work surface. Brush lightly with oil using a pastry brush. Top with a second sheet of phyllo; brush with oil. Continue layering to form a stack of 4 oiled sheets. Working from the long side, cut the stack of phyllo sheets into 8 (2 1/4-inch wide) strips. Cut the strips in half, crosswise, to form 16 (2 1/4-inch wide) strips. Spoon about 1 tablespoon filling onto 1 short end of each strip. Fold one corner over the filling to create a triangle; continue folding back and forth to the end of the strip, creating a triangle-shaped phyllo packet.
Lightly coat air fryer basket with cooking spray. Place 8 packets, seam side down, in the basket; lightly spray the tops. Cook at 375°F until phyllo is deep golden brown and crispy, 12 minutes, turning packets over halfway through cooking. Repeat with remaining phyllo packets. Serve warm or at room temperature.