Heat oven to 425°F and line two baking sheets with parchment.
Bloom yeast by stirring warm water and sugar in a bowl, then sprinkle in yeast. Rest 5 minutes until foamy.
Mix in melted butter and salt. Add flour gradually, stirring until a shaggy dough forms.
Knead on a lightly floured counter for 5–7 minutes until smooth and elastic.
Cover and let rise in a greased bowl until puffy, about 30–40 minutes.
Cut cheese into small cubes. Bring 8 cups water to a simmer in a wide pot.
Divide dough into 4 pieces. Roll each into a 12–14 inch rope and cut 1-inch nuggets.
Flatten each nugget, wrap around a cheese cube, and pinch the seam closed firmly.
Stir baking soda into the simmering water carefully. Maintain a gentle simmer.
Boil stuffed bites in batches for 20–25 seconds, then transfer to prepared sheets to drain.
Brush tops with beaten egg and sprinkle with pretzel salt.
Bake 10–12 minutes until deep golden. Brush with melted butter if desired and cool 5 minutes.