Spray the air fryer tray with cooking spray.
Pat the scallops dry with paper towels and set aside.
On the air fryer setting, cook the bacon at 400°F for 2-3 minutes, so the bacon is slightly cooked but still pliable to wrap around the scallops.
Brush each scallop with olive oil, then season with the Old Bay seasoning.
Wrap each scallop with half of a strip of bacon, and insert 1-2 toothpicks to hold the bacon in place.
Place the wrapped scallops into your air fryer and cook on the air fry setting at 400°F for 8-10 minutes or until the scallops are fully cooked.
Sprinkle with parsley and serve immediately with lemon wedges.