I am a vegetarian except for 2 raw egg yolks per day. I go to Costco and get non-fat milk for $1.89 per gallon. There is some milk sugar in the milk so it is not pure protein but still it is pretty low calorie. Sometimes I will buy like 14 gallons of no fat milk and make curd that is just about pure protein. I put most of it in the freezer.
But as a vegetarian for ethical/religious reasons I do not recommend milk. They get the cow pregnant every year to get her maternal instincts going and get her milk flowing and then murder the baby cow for the veal industry and then hook the machine up to her breast. It really is the most grievous form of parasitism in the entire animal kingdom. If I had it to do over again, I would rather be a beefeater.
And I always hear you should take it easy on the tuna and other seafood because of the mercury in it. You are supposed to get the cheaper chunk tuna (not solid) because it comes from smaller fish.
You can try eggs and only eat the whites. If it does not give you gas that can be really good. You have to cook the egg white or it will deplete your B vitamins or something like that. This is important.
The yellow part of the egg is all fat with a lot of cholesterol. The cholesterol gets even worse if you cook it. I eat 2 raw egg yolks per because it is supposed to be a source of good cholesterol which is the precursor to testosterone. If your finances are ok, you should eat only organic egg yolk because the pesticide poisons are oil soluble and concentrate in the yolk, I think. And you can get eggs from free range happy birds.