Preheat the oven to 180°C (350°F). Grease a 12-count donut pan with cooking spray and set aside.
In a large mixing bowl, whisk together the protein powder, self-rising flour, cocoa powder, and granulated sweetener until evenly combined.
Add the sunflower oil and 1 cup + 2 tablespoons milk to the dry ingredients and stir until a thick, uniform batter forms; if batter is too thick, add a little more milk, 1 tablespoon at a time, until scoopable.
Transfer the batter to a zip-top bag or piping bag, cut a small corner, and pipe or squeeze the batter evenly into the prepared donut wells about three-quarters full.
Bake for 13–15 minutes, or until a toothpick inserted into a donut comes out clean.
Let the donuts cool in the pan for about 10 minutes, then carefully transfer them to a wire rack to cool completely before glazing.
To make the glaze, whisk the powdered sugar substitute with the cocoa powder in a small bowl. Slowly add 1/4 cup milk and stir until the glaze is thick and glossy; adjust with more milk if needed for desired consistency.
Dip each cooled donut into the glaze, return to the wire rack, and allow the glaze to set before serving.