In a medium bowl, mix together warm water, active dry yeast, and granulated sugar. Allow this mixture to sit for about 5 minutes until it becomes frothy.

In a large mixing bowl, whisk together all-purpose flour and salt until evenly combined. Gradually pour in the yeast mixture, stirring until a shaggy dough forms.

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

Place the dough into a greased bowl, cover it, and let it rise in a warm area for about 1 hour, or until doubled in size.

Preheat oven to 450°F (230°C) and line baking sheets with parchment paper. In a large pot, bring water to a boil and add baking soda.

Punch down the dough and divide it into 8 pieces. Roll each into a 12-inch rope, wrap around a hot dog with a slice of cheese inside, encasing it completely.

Boil each wrapped hot dog in the baking soda bath for 30 seconds on each side, then transfer to the prepared baking sheets.

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

Bake pretzel dogs for 12-15 minutes or until golden brown.

Let cool slightly before serving warm with mustard or dipping sauce.