Preheat the oven to 350°F and line a baking sheet with parchment paper.
In a large bowl, combine the flour, protein powder, baking powder, and sugar.
Add the Greek yogurt and vanilla extract. Mix until a dough forms. If the dough feels too dry, add a little more Greek yogurt. If it becomes too sticky, add a small amount of flour until the dough is easy to handle.
Knead the dough until all ingredients are fully combined and the texture is smooth.
Divide the dough into small portions and roll each piece into a ball.
Place the donut holes on the prepared baking sheet.
Bake for 12-15 minutes.
Let cool slightly before serving. Dip in melted butter, then roll in cinnamon sugar.