In a mixing bowl, combine warm water, sugar, and yeast. Let it sit for about 5–10 minutes until foamy.
In a large bowl, mix flour and salt. Add the yeast mixture, shredded cheddar cheese, and chopped jalapeños. Stir until a dough forms.
Knead the dough for about 5–7 minutes until smooth and elastic. If the dough is sticky, add a little more flour.
Place the dough in a greased bowl, cover it with a damp cloth, and let it rise in a warm place for about 1 hour, or until doubled in size.
Preheat oven to 425°F (220°C) and line a baking sheet with parchment paper.
Once the dough has risen, punch it down and divide it into 10–12 equal pieces. Roll each piece into a rope about 10 inches long and shape it into a knot.
In a large pot, bring about 8 cups of water to a simmer. Add baking soda carefully (it will bubble!) and drop the pretzel knots in batches. Boil each knot for about 30 seconds before removing and placing them on the prepared baking sheet.
Brush each pretzel knot with the beaten egg and sprinkle with coarse sea salt.
Bake in the preheated oven for 12–15 minutes or until golden brown.
Allow the pretzel knots to cool slightly before serving.