Preheat the air fryer to 400°F (200°C) for 5 minutes.
Pat the shrimp dry with paper towels and set aside.
In a medium bowl, whisk together the all-purpose flour, cornstarch, baking powder, and salt.
In a separate small bowl, lightly beat the egg yolk, then add the ice-cold sparkling water and mix gently.
Pour the wet ingredients into the dry ingredients and stir lightly until just combined. The batter should be lumpy and cold; do not overmix.
Dip each shrimp into the batter, allowing excess to drip off.
Lightly spray the air fryer basket with cooking spray. Place the battered shrimp in a single layer in the basket, leaving space between each shrimp. You may need to cook in batches.
Spray the tops of the shrimp lightly with cooking spray.
Air fry for 8 to 10 minutes, flipping the shrimp halfway through, until the tempura batter is golden and crispy.
Remove the shrimp from the air fryer and serve immediately with dipping sauce if desired.