In a large mixing bowl, combine warm water, yeast, and sugar. Let it sit for about 5 minutes until frothy.
Add flour and salt to the yeast mixture. Stir until a dough forms. Knead the dough on a floured surface for about 5 minutes until smooth and elastic.
Place the dough in a greased bowl, cover with a damp cloth, and let it rise in a warm place for about 1 hour or until doubled in size.
Preheat your oven to 450°F. Line a baking sheet with parchment paper.
In a large pot, bring 10 cups of water to a boil. Stir in baking soda carefully.
Punch down the risen dough and divide it into 12 equal pieces. Roll each piece into a long rope (about 24 inches long) and shape it into a pretzel.
Boil each pretzel in the baking soda water for about 30 seconds, then remove and place on the prepared baking sheet.
Brush each pretzel with the beaten egg, then sprinkle with mozzarella, Parmesan, rosemary, and coarse sea salt.
Bake for 12-15 minutes or until golden brown. Let cool slightly before serving.