Apart from being clever marketing, I believe they use the word "fryer" to describe the immersion in a very evenly and highly heated fluid, in this case air. While not very different from a fan-forced oven, the design of a small chamber with a vented basket and high air circulation does create a more uniform thermal environment over the entire surface area of the food, than the usual convection oven with a flat tray.
Do you get bothered by recipes that have you drizzle oil on vegetables and then roast them?
No queen has ever slept in my queen sized bed, nor am I aware of any rectangularly shaped queens. My airpods aren't made of air. When we combine words or even parts of words we don't produce meaning by simply summing the meaning of the parts.
Absolutely zero harm is caused by calling something an "air fryer" rather than a "countertop convection oven", especially since "air fryer" more easily conveys the idea that you can cook things like french fries in one reasonably effectively without deep frying in oil.