Low. The chances are low. The catheter is small and any air bubble would be tiny. If it does occur it would not cause a problem. It is not like having air injected into the blood suply.
No effect. The procedure for entering the epidural space is as follows. A needle is inserted into the space between the spinous processes (the bumps of bone on your spine). A syringe is attached to that needle. The needle is advance until a loss of resistance is felt in the syringe. That can be done with either air or liquid. Air will not cause any harm when injected into the epidural space.