Preheat the oven to 350°F.
Use the coconut oil to lightly grease four oven-safe ramekins.
In a large mixing bowl, combine the oats, oat milk, applesauce, maple syrup, cinnamon, chia seeds, vanilla extract, blueberries, and protein powder. Stir until evenly combined.
Divide the oatmeal mixture evenly among the four prepared ramekins.
Bake for approximately 30 minutes, or until the centers are set and a toothpick inserted into the oatmeal comes out mostly clean.
Allow the baked oatmeal to cool for several minutes before serving.