Combine the ricotta, mozzarella, Pecorino Romano, and parsley in a medium bowl.
Season both sides of the zucchini with salt and black pepper.
In a shallow plate, beat the eggs and 1 teaspoon of water together. Place the bread crumbs in another plate.
Place each slice of zucchini in the egg, then the bread crumbs.
Spray a generous amount of olive oil spray on each side and transfer to the air fryer basket in an even layer, in batches as needed.
Preheat the oven to 425F.
Air fry at 380F for 12 minutes turning halfway, until crisp, golden, and tender in the center. Set aside. Transfer to a baking sheet.
Spoon each piece with 1 generous tablespoon of sauce, then 1 tablespoon of the cheese mixture.
Bake until the cheese is melted and golden, about 5 to 6 minutes.
If you prefer to do this all in the air fryer, you can air fry in batches at 350F until the cheese is melted, about 1 to 2 minutes.
Bake the zucchini in a preheated oven at 425F on a sheet pan sprayed with oil until golden, 18 minutes flipping halfway.