Set 1 chicken breast on a cutting board. Hold a sharp knife parallel to the cutting board and along one long side of the breast; cut chicken breast almost in half, leaving breast attached at one side. Open breast so it lies flat like a book and cover with plastic wrap. Lightly pound with the flat side of a meat mallet to 1/4-inch thickness. Repeat with remaining chicken breast.
Season each chicken breast with salt and pepper. Spread Dijon mustard on top. Place 1 slice of cheese on each breast. Top each with 2 slices of ham and 1 slice of cheese. Roll each breast up and secure with a toothpick.
Place flour in a shallow bowl. Place egg in a second bowl. Mix panko bread crumbs and grated Parmesan in a third bowl.
Preheat an air fryer to 350 degrees F (175 degrees C).
Dip chicken first in flour, followed by egg, and finally roll in the bread crumb mixture. Spray chicken rolls with nonstick spray and let sit for 5 minutes while the air fryer preheats.
Place chicken in the basket of the preheated air fryer and cook for 10 minutes. Spray any chalky spots with nonstick spray again. Cook until chicken is no longer pink in the center, 8 minutes more.
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