In a large pot over medium heat, warm oil, pepper, and salt. Sauté onion and celery until translucent, approximately 2 minutes.
Add garlic and spices, then add chicken and cook until evenly browned and cooked through, approximately 10 minutes.
Add broth and bay leaf. Bring to a boil, then reduce and simmer on medium-low heat for 20 minutes. While broth simmers, make dumplings.
In a separate bowl, add yolks, baking powder, and xanthan gum. Mix until combined and smooth.
In a microwave safe bowl, warm mozzarella cheese for 20 seconds, then in 10 second intervals, until melted. Stir cheese between each interval.
Stir egg yolk mixture into cheese and add coconut flour, mixing until thick.
Knead dough with your hands until smooth. On nonstick surface or between two greased sheets of parchment paper, roll dough until approximately ¼-inch thick. Be careful not to roll dough too thin.
With a pizza cutter, gently cut dough into pieces. Sprinkle a small amount of coconut flour on dough pieces to prevent them sticking together.
Add dough to soup and serve immediately.