Preheat the oven to 350°F (175°C). Grease a donut pan thoroughly, including the center posts.
In a medium bowl, whisk together the egg, 1/2 cup milk, 2 Tbsp oil, 1 tsp vanilla, and 1/3 cup Greek yogurt until smooth.
In a separate bowl, whisk the whole wheat flour, 1/2 cup brown sugar, 1 tsp baking powder, 1/2 tsp baking soda, 1/4 tsp sea salt, and the 2 tsp cinnamon (if using).
Add the dry ingredients into the wet ingredients and stir gently until just combined; do not overmix.
Transfer batter to a piping bag or use a spoon and fill the greased donut pan cavities about three-quarters full.
Bake for 12–14 minutes, until a toothpick inserted into a donut comes out clean. Let donuts cool in the pan for a few minutes, then transfer to a cooling rack to cool completely.
While the donuts cool, whisk together 1 cup powdered sugar, 3 Tbsp cocoa powder, 2 Tbsp milk, 1/2 tsp vanilla, and a pinch of salt in a small bowl; add more milk if the glaze is too thick.
Once the donuts are fully cool, dip the tops into the glaze or spoon the glaze over them, then add desired toppings.
Allow the glaze to set for a few minutes before serving.