In a medium bowl, combine warm water with sugar and active dry yeast. Stir gently to dissolve the yeast, then let it sit for about 5 minutes until frothy.

In a separate large bowl, whisk together flour and kosher salt. Make a well in the center to prepare for combining with the yeast mixture.

Pour the activated yeast mixture into the well of the dry ingredients. Gradually mix until a rough dough forms.

Transfer the dough to a floured surface and knead for 5-7 minutes until smooth and elastic.

Shape the kneaded dough into a ball and place it in a lightly oiled bowl. Cover and let it rise for approximately 30 minutes.

Preheat your oven to 425°F (220°C) and prepare a baking sheet lined with parchment paper.

In a large pot, bring water to a rolling boil and carefully add in baking soda.

Once the dough has risen, punch it down and divide it into 8 equal pieces. Roll each piece into a long rope and twist into a pretzel shape.

Immerse each pretzel into the boiling soda solution for about 30 seconds using a slotted spoon.

With a sharp knife, make a small cut on top of each pretzel, stuff with shredded cheese, and close them up.

Beat an egg and brush generously over the tops of each pretzel. Sprinkle with coarse sea salt.

Bake for 15-20 minutes until the pretzels are deep golden brown and the cheese is bubbling.

Remove from the oven and let cool for a few minutes on a wire rack before serving.