You can do the protein powder first. Just make sure that when you pour in the water, it stays on top of the protein and doesn’t seep through to the bottom. Then flip the bottle over, shake it (without flipping) until all the powder unsticks from the bottom, then proceed to shake normally.

Alternatively, fill the bottle with about an inch of water, add the powder, then fill the rest of the way with water and shake normally.

The problem with water first is that you can’t stick the scoop into the bottle and protein powder flies off everywhere.