I

If the context is that of someone lost in thought while doing something then,
the usual preposition "avec" can be used.

• Elle est en train de tricoter avec un air pensif. • Elle est en train de tricoter avec l’air pensif. (There is no significant difference between the use of a definite or an indefinite article.)

But you can do away with a preposition and use an apposition; if this is the chosen syntax, you can’t use the indefinite article, though; you must use the definite article "le".

• Elle est en train de tricoter, l’air pensif.

II

If the context is that of someone doing something with care, delicately (as in the example from English literature below (1)), then it’s a bit different: you can’t use the word "air" but you can use the expression "l’air de faire qqc".

• Slowly, thoughtfully, Justine took another helping of spaghetti. (Mistletoe Man
  https://books.google.fr books
  ) (1)

• Elle est en train de tricoter avec soin.

• Elle est en train de tricoter avec l’air d’y mettre du soin.