01 - Dissolve yeast and sugar in warm water. Let stand until foamy, about 5 minutes.
02 - Add flour, salt, and melted butter to yeast mixture. Mix until shaggy dough forms, then knead for 5-7 minutes until smooth and elastic.
03 - Place dough in lightly oiled bowl, cover, and let rise in warm spot until doubled, about 1 hour.
04 - Preheat air fryer to 390°F.
05 - Bring 4 cups water and baking soda to a boil in medium saucepan.
06 - Divide dough into 6 pieces. Roll each into ½-inch thick rope and cut into 1-inch pieces.
07 - Working in batches, drop bites into boiling baking soda water for 20 seconds. Remove with slotted spoon and place on parchment-lined tray.
08 - Brush pretzel bites with beaten egg and sprinkle with coarse sea salt.
09 - Arrange in single layer in air fryer basket. Cook 6-8 minutes, shaking halfway, until deep golden brown and crisp. Repeat with remaining bites.
10 - Melt butter over medium heat in small saucepan. Whisk in flour and cook 1 minute.
11 - Gradually whisk in milk, cooking until slightly thickened, about 2 minutes.
12 - Reduce heat to low. Stir in cheddar, cream cheese, mustard, garlic powder, paprika, and cayenne. Whisk until smooth. Season with salt and pepper.
13 - Serve pretzel bites warm with zesty cheese dip.