In a large bowl, whisk together the whey protein powder, oat flour, baking powder, salt, and onion powder until evenly combined and free of lumps.
In a separate bowl, beat the Greek yogurt with the 2 eggs until smooth. Add the yogurt-egg mixture to the dry ingredients and fold with a spatula until a sticky dough forms. If the dough seems too dry, add 1 teaspoon of water at a time until it holds together.
Cover the bowl and let the dough rest 8–10 minutes. This brief hydrate time softens the oat flour and makes the dough easier to shape.
Divide the dough into 6 equal portions. Lightly oil your hands or dust them with a little oat flour and roll each portion into a 7–8 inch rope. Bring the ends together and press to seal, forming a bagel shape. If the center hole closes while shaping, use your finger to reopen it to about 1 inch.
Preheat the air fryer to 350°F (175°C) for about 3 minutes. Cut six 5-inch parchment rounds or use a single sheet and space bagels at least 1 inch apart to prevent sticking.
Whisk the remaining egg with 1 tablespoon water to make an egg wash. Brush the tops of each bagel lightly with the wash and sprinkle with everything bagel seasoning and sesame seeds if using.
Arrange 3 bagels in the preheated air fryer basket (or as many will fit without touching). Air fry at 350°F for 12–14 minutes, flipping carefully halfway through cooking to brown both sides evenly. Repeat with remaining bagels.
Transfer finished bagels to a wire rack and let cool 10 minutes before slicing. Cooling helps the crumb set and prevents tearing when you slice.
Serve warm with cream cheese, smoked salmon, or your favorite toppings. Store cooled bagels in an airtight container in the refrigerator for up to 4 days or freeze for longer storage.