Prep the pan. Line the bottom of an 8- or 9-inch springform pan with parchment.
Lightly grease the sides. Preheat oven to 325°F (160°C).
Make the crust. In a bowl, combine almond flour, cocoa, sweetener, and salt. Stir in melted coconut oil until the mixture looks like damp sand.
Press evenly into the pan. Bake for 8–10 minutes, then set aside to cool slightly.
Beat the cream cheese. In a large bowl, beat the cream cheese with a hand mixer for 1–2 minutes until smooth. Scrape the bowl so there are no lumps.
Add yogurt and flavorings. Mix in Greek yogurt, vanilla, and salt.
Blend until creamy. Avoid overmixing to keep air out.
Incorporate dry ingredients. Sift cocoa and protein powder together to break up clumps. Add to the bowl along with the sweetener.
Mix on low just until combined.
Add eggs. Beat in eggs one at a time on low speed. Stop as soon as the batter looks uniform.
Fold in the rocky road bits. Gently fold in chopped dark chocolate, mini marshmallows, and nuts. Save a small handful for the top if you like.
Assemble and tap. Pour batter onto the crust.
Tap the pan on the counter a few times to release bubbles. Sprinkle any reserved mix-ins over the top.
Bake gently. Place the pan on the middle rack. Bake 35–45 minutes, until the edges are set and the center jiggles slightly like gelatin.
Do not overbake.
Cool gradually. Turn off the oven, crack the door, and let the cheesecake sit inside for 30 minutes. Then move it to the counter and cool to room temperature.
Chill to set. Cover and chill for at least 4 hours, preferably overnight, to fully set and develop flavor.
Optional topping. Melt chocolate chips with coconut oil in the microwave in short bursts. Drizzle over the chilled cheesecake and add a few extra marshmallows and nuts.
Slice with a hot, clean knife.