In a large bowl, whisk together the warm milk, brown sugar and sea salt. Sprinkle the yeast on top and let sit for 5 minutes to activate the yeast.
Add the flour and melted butter and use a spoon to mix together. Then use your hands to knead the dough for 5-7 minutes until a smooth cohesive ball forms. If it’s too sticky, add a bit more flour.
Transfer the dough ball to a lightly oiled bowl and cover with a damp kitchen towel. Let dough rest for 30 minutes until its doubled in size.
Preheat the oven to 450 F. Spray two large baking sheets with nonstick spray or line with parchment paper.
Add water and baking soda to a large pot and bring to a boil.
At the same time, transfer dough to a lightly oiled cutting board and divide into 8 equal pieces. Roll out each piece of dough into even ¾ inch ropes. Cut each rope into 1-inch pieces, forming pretzel bites.
Transfer the pretzel bites in batches using a slotted spoon to the boiling water, careful not to overcrowd the pot. Let boil for 30 seconds per batch then remove the pretzel bites and transfer to the baking sheets.
In a small bowl, beat one egg with 1 tbsp water. Using a pastry brush, coat the top of each pretzel bite and then sprinkle with coarse sea salt.
Transfer baking sheets to the oven and bake for 12-15 minutes or until golden-brown. Transfer to a wire cooling rack. Serve warm with beer cheese.