Prep the phyllo: Thaw the phyllo in the fridge overnight or per package instructions. Keep the stack covered with a barely damp towel while you work to prevent drying out.

Mix the filling: In a bowl, combine blue cheese, cream cheese, yogurt, scallions, garlic, lemon zest, and a few grinds of black pepper. Mash with a fork until mostly smooth with some blue cheese bits. Taste and adjust seasoning; add a pinch of salt only if needed.

Set up your station: Melt the butter (or use oil). Lay out one sheet of phyllo on a clean surface. Brush lightly with butter. Place a second sheet on top and brush again. For sturdier rolls, use three sheets; for extra delicate crunch, stick to two.

Add the filling: Spoon a thin log of filling (about 2 tablespoons) along the short edge of the phyllo, leaving a 1-inch border on both sides.

Fold and roll: Fold the sides in to encase the filling, then roll up tightly like a small burrito. Place seam-side down. Repeat with remaining phyllo and filling. You should get 10–12 rolls, depending on size.

Chill briefly (optional): For cleaner edges and easier handling, chill the assembled rolls in the refrigerator for 10–15 minutes.

Preheat the air fryer: Set to 375°F (190°C). Lightly spray the basket with cooking spray.

Air fry: Arrange rolls in a single layer, leaving space between them. Brush or spray the tops with a little butter or oil. Cook 7–9 minutes, flipping halfway, until golden brown and crisp. Timing may vary by air fryer.

Finish and serve: Let cool 2–3 minutes. Drizzle with honey or hot honey if you like. Sprinkle with chopped parsley or chives. Serve warm.