Warm the milk to about 110°F. Stir in yeast and 1 tbsp of the sweetener. Let sit 5–7 minutes until foamy.
In a stand mixer, combine flour, protein powder, remaining sweetener, salt, pumpkin purée, eggs, butter, and yeast mixture. Knead 6–8 minutes until smooth and tacky (slightly sticky but pulls away cleanly).
Transfer to a greased bowl, cover with a towel, and let rise in a warm spot for 1–1.5 hours until doubled in size.
Punch down the dough and roll it to ½-inch thick. Cut 3-inch rounds or weigh out 75g pieces, rolling into balls and flattening slightly. Place 2 inches apart on a baking sheet.
Cover and let rise 30–45 minutes until puffy.
Preheat oven to 350°F. Bake for 12–14 minutes until golden and hollow-sounding when tapped. Cool fully on a wire rack.
Beat cream cheese, maple syrup, pumpkin, and cinnamon until smooth. Transfer to a piping bag.
Insert piping tip into the side of each donut and gently fill until plump.
OPTIONAL BUT RECOMMENDED: Roll warm donuts in cinnamon sugar for extra flavor.