Prep the pan and oven: Preheat to 350°F (175°C). Lightly grease a 6-cavity donut pan or spray with oil. If using silicone, place it on a sheet pan for stability.
Mix dry ingredients: In a medium bowl, whisk almond flour, protein powder, baking powder, baking soda, salt, and sweetener until evenly combined and lump-free.
Whisk wet ingredients: In another bowl, whisk eggs, almond milk, yogurt, melted coconut oil, and vanilla.
Add lemon zest if using.
Combine: Pour wet into dry and stir with a spatula until just combined. The batter should be thick but scoopable. If it’s too thick, add 1–2 teaspoons more almond milk.
Fold in blueberries: Gently fold in blueberries so they don’t bleed too much into the batter.
Avoid overmixing.
Fill the pan: Spoon or pipe batter into the donut cavities, filling each about 3/4 full. Smooth tops lightly.
Bake: Bake for 12–14 minutes, until the tops are set and a toothpick comes out mostly clean with a few moist crumbs. Do not overbake.
Cool: Let donuts cool in the pan for 5 minutes, then transfer to a rack to cool completely.
They firm up as they cool.
Glaze (optional): Stir powdered sweetener with almond milk and vanilla to a pourable consistency. Dip cooled donuts or drizzle over the top. Let set 10 minutes.