In a medium mixing bowl, combine warm water, active dry yeast, and granulated sugar. Stir gently and let it sit for about 5 minutes until foamy.

In a large bowl, whisk together all-purpose flour and salt. Pour the yeast mixture into the flour mixture and stir until a shaggy dough forms.

Lightly flour your work surface and knead the dough for 5-7 minutes until smooth and elastic.

Place the kneaded dough into a greased bowl, cover, and let it rise in a warm spot until it doubles in size, about 1 hour.

Preheat your oven to 450°F (230°C) and prepare two baking sheets lined with parchment paper.

In a large pot, bring 10 cups of water to a rolling boil and carefully add baking soda, stirring to dissolve.

Punch down the risen dough and divide it into 8 pieces, rolling each into a 12-inch rope.

Wrap a piece of dough around each hot dog with a slice of cheese inside, sealing the ends well.

Boil each wrapped pretzel dog in the baking soda solution for 30 seconds on each side, then remove and let drain.

Place the boiled pretzel dogs on the baking sheets, brush with beaten egg, and sprinkle with coarse salt.

Bake for 12-15 minutes or until golden brown and fragrant.

Remove the pretzel dogs from the oven and cool slightly on a wire rack before serving.