Preheat the oven to 375°F. Line a 10x15-inch jelly roll pan with parchment paper and lightly oil the paper so the cake will release easily.
Whisk together the flour, whey protein powder, baking powder, baking soda, cinnamon, nutmeg, and salt in a medium bowl; set aside.
In a large bowl, beat the eggs with the brown sugar until the mixture is noticeably lighter in color and slightly thickened, about 3 to 4 minutes by hand or 2 minutes with a mixer. Stir in the Greek yogurt, oil, vanilla, and orange zest until smooth.
Fold the dry ingredients into the wet mixture with a spatula just until combined. Gently fold in the grated carrots and chopped walnuts (if using); avoid overmixing to keep the sponge tender.
Spread the batter evenly in the prepared pan, smoothing the top with an offset spatula. Bake for 10 to 12 minutes, or until the top springs back lightly when touched and a toothpick inserted in the center comes out clean.
While the cake bakes, lay a clean kitchen towel on the counter and dust it lightly with powdered sugar. As soon as the cake is out of the oven, invert it onto the sugared towel, peel off the parchment, and starting from one short end roll the cake up in the towel. Let the rolled cake cool completely on a wire rack for about 20 minutes.
Meanwhile, make the filling: beat the softened cream cheese with Greek yogurt, powdered sugar, vanilla, and 1/2 tsp orange zest until smooth and spreadable. Taste and adjust sweetness if desired.
Carefully unroll the cooled cake. Spread the cream-cheese filling in an even layer over the cake, leaving a 1/2-inch border to prevent overflow when rolling.
Re-roll the cake tightly (without the towel), wrap it in plastic wrap, and refrigerate for at least 30 minutes to set the filling and make neat slices.
Trim the ends for a clean presentation, dust the roll lightly with powdered sugar if desired, and slice into 8 pieces to serve chilled or at cool room temperature.