In a bowl, combine warm water, yeast, and sugar. Stir and let it sit for about 5 minutes until it becomes frothy.

In a large mixing bowl, mix flour and salt. Add the yeast mixture to the flour and stir to form a dough.

Knead the dough on a lightly floured surface for about 5-7 minutes until smooth and elastic.

Place dough in a greased bowl, cover with plastic wrap, and let it rise in a warm place until doubled in size, about 1 hour.

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

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

Once dough has risen, punch it down and divide it into 8 equal pieces.

Roll out each piece into a rope long enough to wrap around a hot dog and cheese slice.

Place a slice of cheese around each hot dog, then wrap the dough around, sealing the ends and edges by pinching them together.

Using a slotted spoon, carefully dip each wrapped pretzel dog into the boiling soda water for 30 seconds, then transfer to the prepared baking sheet.

Brush each pretzel dog with beaten egg and sprinkle with coarse salt.

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

Let cool slightly before serving. Serve with mustard or your favorite dipping sauce.