In a clean bowl, stir together the Panko bread crumbs, milk, yellow mustard, salt, and black pepper until well combined.
Break the lean ground turkey meat into small pieces and add it to the bread crumb mixture. Using your hands or a spatula, mix the meat with the bread crumb mixture until they are well combined.
Divide the turkey mixture into six even portions. Gently roll each portion into a ball and form them into burgers.
Place 3 or 4 burgers at a time into the air fryer basket. Make sure the turkey burgers are not touching.
Air fry the turkey burgers at 375°F (190°C) for 12 minutes, or until the internal temperature of the burgers has reached 165°F (74°C). Place a slice of Cheddar cheese on top of each burger and air fry for one additional minute to melt the cheese.
Repeat the process until all six burgers are cooked. To serve, place the burgers on the buns and top them with sautéed onions, pickles, lettuce, tomato, and Thousand Island dressing.