In a small bowl, combine warm water, active dry yeast, and granulated sugar. Stir gently and let sit for 5-10 minutes until frothy.

In a large mixing bowl, whisk together all-purpose flour and salt. Pour in the yeast mixture and mix with a wooden spoon until shaggy.

Transfer dough to a floured surface and knead for 5-7 minutes until smooth and elastic.

Shape dough into a ball and place in a greased bowl. Cover and let rise in a warm place for 1 hour or until doubled.

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

In a large pot, bring water to a boil and carefully add baking soda.

Punch down risen dough, divide into 8 portions, and roll each into a 12-inch rope.

Wrap each rope around a hot dog and a slice of cheese, sealing the ends tightly.

Boil each wrapped pretzel dog in the baking soda bath for 30 seconds on each side, then place on baking sheets.

Brush each pretzel dog with beaten egg and sprinkle with coarse salt. Bake for 12-15 minutes until golden brown.

Let cool slightly on a wire rack and serve warm with dipping sauces.