ANSWER
Heating whey protein during baking may change the protein through the denaturing process but it may not affect the amino acid structure of the protein or its nutrients (Varga-Visi et al., 2009). It might affect the solubility of the protein as solubility of protein decrease with every temperature increase (Daniela & Maria, 2008). However, this does not make it less nutritious or decrease its benefits to our health.
References
Daniela, H. G. P. & Maria, T. M. S. G. (2008). Whey Proteins Solubility Curves at Several Temperatures Values. UFSM, 30(1), 17-25.
Varga-Visi, E., Albert,C., Mandoki, Z. & Csapo, J. The effect of thermic treatment conditions on the amino acid composition of soybean and maize. Acta Univ Sapientiae, 2(2), 166-173.