Prep the oven and pan: Preheat to 350°F (175°C). Line a baking sheet with parchment paper.
Rub zest into sugar: In a large bowl, combine granulated sugar and lemon zest. Use your fingers to rub them together until the sugar feels damp and fragrant.
Cream the wet ingredients: Add softened butter to the lemon sugar and beat until light and creamy, about 1–2 minutes.
Mix in Greek yogurt, egg, lemon juice, and vanilla until smooth.
Whisk dry ingredients: In a separate bowl, whisk flour, protein powder, cornstarch, baking powder, baking soda, and salt.
Combine: Add dry ingredients to the wet mixture. Stir with a spatula until just combined. If the dough looks crumbly, add up to 2 tablespoons milk, 1 teaspoon at a time, until it holds together.
The dough should be soft but not sticky.
Portion and coat: Scoop 1 1/2-tablespoon portions (about cookie scoop size). Roll into balls, then roll lightly in granulated sugar.
Bake: Arrange on the baking sheet, spacing 2 inches apart. Bake 8–10 minutes, until the edges are set and the tops look slightly puffy and matte.
Do not overbake.
Cool: Let cookies rest on the sheet for 5 minutes, then transfer to a rack to cool completely. They will finish setting as they cool.