Finely grind the almonds and protein powder in a grinder.
In a bowl, mix the ground almonds, protein powder, whole wheat flour, and baking powder.
Add the egg, milk, olive oil, and honey; mix well to form a dough.
Shape the dough into scones.
Place the dough on a baking pan and bake in a preheated oven at 180°C for 18-20 minutes.
Transfer to a cooling rack and let cool.