In a large mixing bowl, combine warm water, flour, sugar, yeast, and kosher salt.
Mix the dough with a dough hook or wooden spoon until fully combined.
If using a dough hook, mix until a ball forms. If using a spoon, knead the dough until it becomes slightly sticky and forms a ball.
Transfer the dough to a greased bowl, cover it, and let it rise in a warm place for about an hour, or until it has doubled in size.
Divide the dough into 12 pieces and roll each piece into a thin rope.
Wrap each rope around a hot dog and place them on a parchment-lined tray.
In a large pot, combine 8 cups of water and baking soda. Bring to a boil, then reduce to a simmer.
Carefully add the pretzel-wrapped hot dogs to the simmering water in batches, boiling for 30 seconds each.
Using a slotted spoon, transfer the pretzel dogs to a parchment-lined baking tray. Preheat your oven to 425°F.
In a small bowl, whisk the egg with a splash of water. Brush the egg wash over the dough. Bake in the oven for 13-15 minutes, or until golden brown.
While baking, melt the butter. Once the pretzel dogs are browned, remove them from the oven, brush with melted butter, and sprinkle with coarse salt.
Serve with cheese sauce and enjoy!