Preheat the air fryer to 350 degrees F (175 degrees C).

Cut a hole in the center of the frozen waffle using the rim of a cup or glass (about 2 to 3 inches in diameter). Move the waffle to a square of parchment paper, then carefully place the parchment paper into the preheated air fryer, along with the small center waffle.

Crack egg directly into the center of the waffle hole; season with salt and pepper to taste. Close the lid and cook until the white of the egg has started to set, about 5 to 6 minutes.

Remove small center waffle from the air fryer. Sprinkle shredded cheese onto the egg waffle, and cook until the cheese is melted and egg white is completely set, about 1 to 2 minutes.