Preheat your air fryer. Set to 320°F (160°C). Line the basket or tray with parchment that’s trimmed to fit and vented so air can circulate.
Mix the dry ingredients. In a large bowl, whisk oats, oat flour, protein powder, brown sugar, sweetener, cinnamon, baking soda, and salt until evenly combined.
Combine the wet ingredients. In a separate bowl, whisk melted butter, applesauce, egg, and vanilla.
Stir wet into dry until a thick dough forms. If it looks crumbly, add milk 1 tablespoon at a time until sticky but scoopable.
Rest the dough. Let it sit 5 minutes. This allows the oats to hydrate, which improves chew and prevents spreading.
Portion the cookies. Use a tablespoon or small cookie scoop to form 16 equal mounds.
Roll lightly and press into 2.5-inch disks about 1/3 inch thick. Keep them uniform so they cook evenly and pair up neatly.
Air fry in batches. Arrange 6–8 cookies in the basket with space between. Air fry 5–7 minutes until set at the edges and soft in the center.
They will firm as they cool. Avoid overcooking.
Cool completely. Transfer to a rack. Let them cool 15–20 minutes so the filling won’t melt on contact.
Make the filling. Beat yogurt and cream cheese until smooth.
Add protein powder, powdered sugar, vanilla, and salt. Mix until fluffy. If too thick, add 1–2 teaspoons milk; if too loose, sift in a bit more protein powder.
Chill 10 minutes to set.
Assemble the pies. Pipe or spoon 1.5–2 tablespoons of cream on the flat side of a cookie. Top with a second cookie and press gently to spread the filling to the edges.
Let them set. Chill assembled pies for 15–20 minutes for the best texture. This helps the cream hold and the cookies soften slightly, mimicking the classic.
Confirm protein per pie. With the amounts listed, each pie typically lands around 20 g of protein depending on your protein powder brand.
Use a nutrition calculator if you need exact macros.