Preheat air fryer to 325°. Sprinkle catfish with salt and pepper. Whisk eggs, mustard and milk in a shallow bowl. Place flour and pretzels in separate shallow bowls. Coat fillets with flour, then dip in egg mixture and coat with pretzels.
In batches, place fillets in a single layer on greased tray in air-fryer basket; spritz with cooking spray. Cook until fish flakes easily with a fork, 10-12 minutes. If desired, serve with lemon slices.