Pour pickles into a colander. Rinse pickles well with cold water. Place on clean kitchen towel and pat dry.
Stir together mayonnaise, ketchup, horseradish, pickle juice and 1/2-teaspoon Cajun seasoning in small bowl; set aside.
Stir together flour and 1 teaspoon Cajun seasoning in shallow dish. Crack egg into a second shallow dish and beat lightly.
Place pickles in flour and coat lightly on each side. Dip one at a time in egg and turn to coat. Place pickles back into the flour mixture and coat well. Place in single layer on plate or sheet pan. Spray top with avocado oil spray, flip and spray second side.
Spray air fryer basket with avocado oil spray. Pour 1 tablespoon oil into bottom of air fryer basket. Heat air fryer to 400°F. Place pickles in a single layer in basket. Air fry 6 to 8 minutes, until crispy and browned, turning once. Repeat with remaining pickles and remaining 1 tablespoon vegetable oil. Serve air fryer fried pickles with dipping sauce.
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