In a large bowl, combine ground beef, ground pork, breadcrumbs, milk, egg, onion, salt, pepper, allspice, and nutmeg. Mix gently with your hands until just combined—don't overmix or the meatballs will be tough.
Roll mixture into small meatballs, about 1 inch in diameter (you should get about 30-35 meatballs). A cookie scoop makes this so much easier!
Preheat air fryer to 375°F. Spray the basket with cooking spray.
Place meatballs in a single layer in the air fryer basket, leaving space between each. Cook in batches for 12-15 minutes, shaking the basket halfway through, until browned and cooked through (internal temp should be 160°F).
While meatballs are cooking, make the sauce. Melt butter in a large skillet over medium heat. Whisk in flour and cook for 1-2 minutes until golden.
Gradually whisk in beef broth, then add heavy cream and Worcestershire sauce. Simmer for 5-7 minutes, stirring frequently, until sauce thickens enough to coat the back of a spoon.
Add cooked meatballs to the sauce and gently toss to coat. Transfer to a serving dish, garnish with fresh parsley, and serve with toothpicks. Keep warm in a slow cooker if serving buffet-style!