Preheat the oven to 350°F (175°C). Lightly grease a 10-cavity donut pan or spray with nonstick spray and set aside.
Whisk together all dry ingredients in a medium bowl: flour, protein powder, sugar, baking powder and salt. Break up any clumps of protein powder with the back of a spoon so the mixture is uniform.
In a separate bowl, beat the eggs until slightly frothy. Add milk, Greek yogurt, melted coconut oil, vanilla and lemon zest; whisk until smooth and well combined.
Pour the wet mixture into the dry ingredients and stir gently with a spatula just until the batter comes together — avoid overmixing. Let the batter rest 8–10 minutes so the protein and flour hydrate; the batter will thicken slightly.
Toss the blueberries with a teaspoon of flour from the dry mix (this helps prevent sinking), then fold them into the rested batter with a few gentle strokes.
Transfer batter to a piping bag or a resealable plastic bag with the corner snipped, and pipe into each donut cavity filling about 3/4 full. Alternatively, use two spoons to portion the batter evenly.
Bake at 350°F for 12 minutes, or until the tops are set and a toothpick inserted near the center comes out mostly clean. Start checking at 10 minutes to avoid overbaking — timing can vary by oven.
Remove pan from oven and let donuts cool in the pan for 4–5 minutes, then carefully invert onto a wire rack to cool completely. Cooling briefly in the pan helps them hold their shape.
Serve warm or at room temperature. If desired, finish with a light dusting of powdered sugar or a simple lemon drizzle (optional).