Preheat the oven to 350 degrees Fahrenheit. Grease the donut pans for about a dozen.
Grate the apple on the large portion of a cheese grater. Wrap the grated apple in cheesecloth or paper towel and wring well to release the excess moisture.
Whisk together the yogurt, sugar, melted butter, eggs, maple syrup, vanilla extract, and protein powder until smooth.
Fold in the grated apples, then fold in the oat flour, baking powder, and apple pie spice.
Add the batter to the greased donut pans, dividing evenly. Bake in the preheated oven for 10-12 minutes or until a toothpick inserted in the center comes out clean.
Let cool for about 10 minutes, then invert onto a baking sheet. Continue to cool for 20 minutes or until room temperature.
Coat the donuts if desired: Mix together the powdered sugar and cinnamon until well combined. Place on a plate. Place a donut on the plate and coat with the sugar mixture. Flip the donut and coat the other side, rolling to coat the sides if desired. Repeat with the remaining donuts.