Whey protein powder you need to consume with water only. No milk is required. We usually do not advise milk in our diet plan but milk products like tea, curd, paneer, etc are allowed if it is given in the diet plan. 

If you have purchased an unflavoured one then you can mix it with flour and make dough then make roti. It is better to mix only when you are making roti, do not premix and store.