In a large mixing bowl, combine warm water, sugar, and active dry yeast. Stir gently and let sit for 5 minutes until frothy.
Add the all-purpose flour, salt, grated Parmesan cheese, and chopped rosemary to the yeast mixture. Mix with a wooden spoon until a dough forms.
Knead the dough on a floured surface for about 5-7 minutes until smooth and elastic.
Place the dough in a greased bowl, cover it with a towel, and let it rise in a warm place for about 30 minutes or until doubled in size.
Preheat your oven to 425°F (220°C) and line a baking sheet with parchment paper.
Once the dough has risen, punch it down to release air. Divide it into 8 equal pieces.
Flatten each piece of dough and place one piece of mozzarella cheese in the center. Fold the dough over the cheese and shape it into a pretzel knot.
In a small saucepan, bring about 4 cups of water to a boil and add the baking soda.
Carefully drop each pretzel into the boiling water, one at a time, for about 30 seconds. Use a slotted spoon to remove them and place them on the prepared baking sheet.
Brush each pretzel with the beaten egg and sprinkle with coarse sea salt.
Bake in the preheated oven for 15-20 minutes, or until golden brown.
Allow them to cool slightly before serving.