Over the years there have been a few attempts at this.
One item that was sold was called the LEM Spitzer mould, basically a little single cavity .22 conical bullet mould. I acquired one out of curiosity a while back - the results from it are singularly unimpressive the bullets grouping more akin to a shotgun pattern.
I remember also a couple of attempts to swage pellets (usually reforming existing airgun pellets into other shapes) but again results were disappointing and the ideas sank without trace.
From what I can tell the only succesful home made airgun projectiles are for the antique air canes of large calibre which were often supplied with bullet and or ball moulds, and probably for the custom large calibre airguns that you sometimes see advertised.
A wise man has something to say, a fool has to say something.