Start by preheating your oven to 350°F (175°C). Lightly grease your donut pan with cooking spray or oil to prevent sticking.
In a mixing bowl, whisk together the large egg, milk of choice, Greek yogurt, vanilla extract, and oil until smooth and well combined.
In a separate bowl, combine the whole wheat flour, brown sugar, baking powder, baking soda, cinnamon (if using), and sea salt. Mix thoroughly.
Pour the wet ingredients into the dry ingredients. Gently fold them together until just combined. Be careful not to over-mix; a few lumps are okay!
Spoon the batter into the prepared donut pan, filling each cavity about 2/3 full. This will allow room for the donuts to rise without overflowing.
Bake in the preheated oven for 10-12 minutes or until the edges are golden and a toothpick inserted into the center comes out clean. Let them cool in the pan for a few minutes before transferring to a wire rack.
In a mixing bowl, combine the powdered sugar, cocoa powder, milk of choice, vanilla, and a pinch of salt if desired. Whisk until smooth. If the glaze is too thick, add more milk, one teaspoon at a time, until you reach your preferred consistency.
Once the donuts are completely cool, dip the tops into the glaze and let any excess drip off. Place them back on the wire rack to set. Feel free to sprinkle toppings of your choice over the glaze for an extra pop of flavor!