Preheat oven to 375 and line your baking sheet with parchment paper.
Cream together sugar, egg whites and oil using the whisk attachment of stand mixer, or vigorously whisk by hand. Ensure all sugar crystals have dissolved. Add vanilla and lemon zest.
Combine dry ingredients – Oatmeal through cinnamon – in a medium sized bowl. Stir well to combine. If using a stand mixer, switch to the paddle attachment, or complete this step by hand with a wooden spoon. Slowly add dry ingredients with wet ingredients, until just combined. Add soy milk and walnuts, stir to just incorporate and form a wet, soft dough.
Using tablespoons, drop dough onto your baking sheet in small mounds. I usually make 20-24 mounds. Bake for 15-18 minutes, or until just lightly browned around the edges.
If you don't have any millet, you can skip it or sub in an equal amount of sesame seeds. The flavor will be different, but they will provide a similar texture.You can use whatever non-dairy milk you prefer.Store in a covered container in the refrigerator if you want to keep for more than a day or two. I like to wrap them individually and freeze for on-the-go snacks