Preheat air fryer to 360°F. In a medium bowl stir together flour, 2 tablespoons sugar, baking powder, baking soda, and salt. Cut in butter until mixture resembles coarse crumbs.
In a small bowl beat egg with a fork. Remove 2 tablespoons egg to another small bowl; set aside. Add buttermilk and vanilla to remaining egg; whisk with the fork until combined. Add to flour mixture all at once. Stir with a fork just until moistened. Gently stir in blueberries.
Transfer the dough to a lightly floured surface. Gently knead 8 to 10 strokes or until dough is no longer sticky. Pat dough into a 6-inch circle. Cut into 8 wedges (do not separate), dipping knife in flour between cuts.
In a small bowl combine remaining 2 tablespoons sugar and orange zest. Brush top of dough with reserved egg. Sprinkle with sugar mixture. Separate wedges. Using a small wide spatula, carefully arrange dough wedges in a single layer in fryer basket (line with parchment paper to prevent sticking), in batches if necessary. Cook for 6 minutes or until scones are golden brown. Serve warm.