Preheat the oven to 180 C / 350 F and line a small bread pan (1 lb volume) with parchment paper.
Beat the egg whites with an electric mixer until stiff peaks form. Take your time with this - it should take about 3-4 minutes.
In a separate bowl, beat the 2 egg yolks, the yoghurt, butter and water for about 2 minutes until pale and fluffy.
Now add the dry ingredients - coconut flour, whey protein powder, baking powder and salt - alongside ¼ of the stiff egg whites. Beat with the mixer until just combined.
Using a spatula, fold in the remainder of the egg whites until you have a smooth dough. Don't overmix to ensure you're keeping in the air bubbles!
Fill the dough in the prepared loaf pan and bake for about 35 minutes until golden on top or until a skewer inserted comes out clean.
Let cool completely before cutting.