Crumble the feta and mix it with the anthotyro cheese, cream cheese, pepper, and thyme.
Cut the filo sheets into ~10 cm wide strips and lightly brush them with olive oil.
Add a spoonful of the filling and fold into triangle shapes.
Cook in the air fryer at 170°C (340°F) for 15 minutes, flipping them after 10 minutes.
Serve warm!