Valorization of ricotta cheese exhausted whey (RCEW), a dairy by-product generated in large quantities worldwide, is essential to mitigate its environmental impact and unlock its economic potential. This study explores the use of RCEW as a substrate for polyhydroxyalkanoate (PHA) production by Azohydromonas lata DSM 1123. The substrate was characterized by low protein and fat contents and a relevant lactose concentration (3.81%, w/v). Due to A. lata’s inability to directly metabolize lactose, β-galactosidase supplementation was necessary. Mineral supplementation of pasteurized RCEW significantly improved both microbial biomass and PHA synthesis, achieving up to 25.94% intracellular PHA content, whereas pre-adaptation trials failed to enhance strain performance. Moderate nitrogen limitation in the substrate (C/N ratio 44) favored PHA synthesis (0.55 g/L) and 32.74% intracellular accumulation. Thermal treatments decreased initial microbial contamination, hence a balanced mixture of pasteurized–sterilized (75:25) substrate was used to modulate RCEW protein content without the inclusion of additional technological or chemical processing steps and without lactose loss or dilution. Bioreactor trials using optimized RCEW pre-treatment conditions led to a further increase in biomass (2.36 g/L) and PHA production (0.88 g/L), especially under fed-batch conditions. The extracted polymer was confirmed to be polyhydroxybutyrate (PHB), with high thermal stability and a molecular weight of 5.9 KDa.