Preheat oven to 325F (163C).
Mix protein powder, coconut flour, baking powder, and nutmeg until well combined.
Add egg whites and coconut oil, and mix well.
Spoon the batter into a ziplock bag, and cut off a corner.
Pipe batter into a silicone mini donut pan.
Bake for 8 minutes, and see if the donuts are firm. If not, check every 1-2 minutes and remove from oven as soon as they are firm.
Let cool slightly, and remove donuts from pan. (Feel free to pop the pan in the fridge or freezer to speed this up!)
Set the donuts in the freezer while you mix the glaze ingredients. (The cooler the donuts are, the better they will take the glaze.)
Using a fork, dip each donut in the glaze, and make sure it is covered by turning it over in the glaze. Lift the fork and let excess glaze drip off the donut.
Place glazed donuts on a parchment-lined dish or tray.
Once donuts are glazed, set the tray in the refrigerator or freezer for a few minutes to help set the glaze.
If you have extra glaze, give the donuts a second coating.
Once the glaze is cool and set, serve and enjoy! Store in the refrigerator.