Line a baking sheet or dinner plate with parchment paper. Set aside.
Stir together the peanut butter and protein powder. (The texture should be soft and moldable; add more or less of either to achieve this.)
Twist open the Oreos and divide the mixture between the empty cookie halves (~1 1/2 teaspoons per Oreo). Sandwich with the other half.
Melt the chocolate and coconut oil in a small bowl. Dip the Oreos into the chocolate so that the sides are covered (you can also dip them all the way in and flip them; but I find that to be messier).
Transfer to the prepared baking sheet and refrigerate until the chocolate is set; at least 15 min. Store in an airtight container in the fridge.
