Chop apple pie filling pieces small and stir in cinnamon and nutmeg.
Warm tortillas wrapped in a damp paper towel in the microwave for 20 to 25 seconds until pliable.
Spoon 2 tablespoons of filling across the lower third of each tortilla. Roll firmly from the bottom, place seam-side down, and press lightly to hold the shape.
Preheat air fryer to 375°F for 3 minutes. Brush taquitos with melted butter on all sides.
Air fry seam-side down in a single layer at 375°F for 7 to 9 minutes, flipping once halfway, until deep golden and crisp.
Roll hot taquitos immediately in cinnamon sugar to coat all sides. Serve with caramel dipping sauce.