In a large mixing bowl, combine the warm water, yeast, and sugar. Let it sit for about 5 minutes until it becomes frothy.

Add the flour and salt to the yeast mixture, then mix until a dough forms. Knead in the shredded cheddar cheese and chopped jalapeños until well incorporated.

Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise in a warm place for about 1 hour, or until doubled in size.

Preheat your oven to 425°F and line two baking sheets with parchment paper.

In a large pot, bring 10 cups of water to a boil and add the baking soda.

Punch down the risen dough and divide it into 8 equal pieces. Roll each piece into a long rope (about 24 inches long) and twist it into a pretzel shape.

Carefully drop each pretzel into the boiling water for about 30 seconds, then remove with a slotted spoon and place on the prepared baking sheets.

Brush each pretzel with the beaten egg and sprinkle with coarse sea salt.

Bake in the preheated oven for 12-15 minutes, or until golden brown.

Allow to cool slightly before serving.