Diagnosis
That's almost certainly the manufacturing oils and residues burning off the heating element and interior. It's common with new air fryers and ovens, but it should go away after a couple of cycles.
How to Fix It
1) Before your first cook, wash the basket, tray, and interior pan with warm, soapy water. Dry thoroughly. 2) Run the fryer empty at 400°F for 20 minutes. Do this in a well-ventilated area. The smell should dissipate during this 'burn-in'. Let it cool completely afterwards. It's now ready for food.
If That Didn't Work
If the smell persists after 2-3 cooking sessions, check for any plastic shipping film or stickers you might have missed. Also, ensure you're not using any plastic or silicone accessories that aren't rated for high heat inside the cooking chamber.
Heads Up
A chemical or electrical burning smell is different. If the smell is acrid, sharp, or doesn't fade, stop using it and contact customer support.