I've made something similar to this (recipe below) and it wouldn't work at all to bake them, because before they start to fry they are unformed batter - far to liquidy to bake.

From the Protein Power Recipe Board:

Funnel Cakes

3 T water
2 eggs
2 T heavy cream
1 T oil
1 C whey protein powder
1 T baking powder
1/3 C splenda