In a large skillet, fry the bacon over medium heat until crispy. Remove the bacon to a paper towel lined plate. Once cool, chop the bacon.
Remove all but 1 Tablespoon of the bacon grease then add the chopped onion. Saute until onions are soft and translucent, 5-7 minutes.
Meanwhile, whisk together the eggs, milk, salt, and paprika. Melt the butter in a skillet set over medium low heat. Add the eggs and continue to cook, stirring constantly, until the eggs are soft set and still a bit shiny. Remove to a plate.
To assemble the burritos, divide the fillings (bacon, onion, eggs, cheese, tomato, and avocado*) evenly over the 8 burrito shells, leaving 1.5 inches on the top and bottom free.
Fold the bottom and top in, then roll the burrito over the filling. Lay it seam side down. Repeat with remaining burritos.
Place 2-4 burritos seam side down in your air fryer, and fry at 390 degrees for 5 minutes. Flip and cook another 3-5 minutes or until golden and crispy.
For the sauce, whisk together all ingredients and refrigerate until ready to serve.