Prepare the coating: In a small bowl, whisk together 1/4 cup sugar and 1 teaspoon cinnamon. Set aside.
Make the dough: In a medium saucepan over medium heat, combine water, oil, 2 tablespoons sugar, and salt. Bring to a rolling boil, stirring occasionally until sugar dissolves.
Form the dough: Remove from heat and immediately add flour all at once. Stir vigorously with a wooden spoon until mixture forms a smooth ball and pulls away from sides of pan. Let cool for 2-3 minutes.
Add optional ingredients: If using, stir in Greek yogurt and vanilla extract until well combined.
Preheat air fryer: Set air fryer to 375°F (190°C) and preheat for 3-5 minutes.
Shape the churros: Transfer dough to a piping bag fitted with a star tip. Pipe 1-2 inch portions directly into the air fryer basket, leaving space between each piece. Use kitchen shears to cut dough from tip.
Cook: Lightly spray churros with cooking oil. Air fry for 8-10 minutes, flipping halfway through with tongs, until golden brown and crispy.
Coat: Immediately transfer hot churros to cinnamon sugar mixture and toss until evenly coated.
Serve: Enjoy warm for best texture and flavor.