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The advent of Advanced Air Mobility (AAM) presents a transformative solution to multi-modal transportation. However, coordinating multi-UAV missions and managing dynamic airspace remain significant hurdles, the adoption of Digital Twin (DT) technology will potentially enable real-time multi-UAV monitoring and decision support. While various DT applications for UAVs have been explored, a critical gap persists in the construction methodologies and consistency maintenance mechanisms of UAV DTs. This study synthesizes insights from UAV systems, traditional aviation, and the manufacturing domain to establish a foundation for developing highly reliable and strongly consistent UAV DTs. It comprehensively analyzes advancements in Cyber-Physical Systems (CPS) and DT technologies, based on which the AAM DT is defined. The review focuses on UAV DT framework construction, geometric modeling, physical modeling, behavioral modeling, rule modeling, and cyber-physical consistency assurance in AAM applications. Additionally, the application of DTs in AAM scenarios is analyzed, and key challenges are identified. Finally, we provide insights into future research directions to enhance the robustness and applicability of UAV DTs in AAM systems.