In a bowl, mix together crumbled feta cheese, finely chopped red bell pepper, cream cheese, lemon juice, dried dill, dried parsley, and cracked black pepper until well combined.
Lay out an egg roll wrapper. Spoon about 2 tablespoons of the feta filling onto the center.
Fold in the sides of the wrapper, then tightly roll from the bottom up. Seal edges with a little water.
Place the rolled feta cheese rolls, seam-side down, in a single layer in your air fryer basket.
Lightly brush the tops and sides of each roll with vegetable oil for a golden crisp.
Air fry at 350°F (175°C) for 5 minutes, until the wrappers start to look golden.
Carefully flip the rolls using tongs. Air fry for an additional 5 minutes at 350°F (175°C) until golden brown and crispy.
Serve immediately with ranch dressing for dipping.