Preheat and prep: Heat the oven to 350°F (175°C) or preheat your air fryer to 325°F (165°C).
Line a baking sheet with parchment or use a lightly greased mini muffin tin.
Mix dry ingredients: In a medium bowl, whisk flour, protein powder, baking powder, baking soda, salt, and cinnamon. Break up any clumps, especially from the protein powder.
Whisk wet ingredients: In a separate bowl, whisk sugar, egg, Greek yogurt, milk, oil or butter, and vanilla until smooth.
Combine: Add the dry mixture to the wet. Stir gently until just combined.
The batter should be thick but scoopable. If it’s too dry, add 1–2 teaspoons of milk.
Portion: Use a small cookie scoop or spoon to form 1–1.5 inch mounds. Place them 2 inches apart on the sheet, or fill mini muffin cups about 3/4 full.
Bake or air fry: Bake 9–12 minutes (air fry 7–9 minutes), until puffed and lightly golden.
A toothpick should come out clean.
Make the coating: Mix cinnamon and sugar in a shallow bowl. Melt the butter.
Coat: While warm, lightly brush or toss donut holes with melted butter, then roll in cinnamon sugar until evenly coated.
Cool slightly: Let them sit for 5 minutes so the coating sets. Enjoy warm or at room temperature.