If the protein powder is added to hot liquid, it won't mix and it does release a gas as it cooks. I've tried it before in one of those covered shakers with a whisk ball built in. Hot protein mess spewed all over the counter as the cap flew off due to the added pressure.
Now, you can apply the same approach that chefs use to flavor their meringues with chocolate. A meringue is essentially egg white (protein) beaten until it is stiff. The technique is called tempering. Basically you blend in the heated substance (like melted chocolate) a little at a time into the the meringue.
If you want a hot protein drink using coffee (a very delicious combo):
- Mix the protein so that it is liquid at room temperature (only use enough liquid to dissolve the protein)
- Slowly add the coffee to the mixture until the mix is the right balance
- Heat if necessary in the microwave when you are done
An alternative approach is to cool the coffee to room temperature and mix the protein at that time. Heat it back up when you are done.
I personally prefer a chocolate/coffee/protein smoothie which is cold. You can't really taste the protein in there at all, and it tastes like you are being decadent.