Combine warm water, yeast, and sugar in a mixing bowl; let sit for 5 minutes until foamy.
In a separate bowl, whisk together flour and salt. Gradually add to the yeast mixture and stir until blended.
Knead the dough using a stand mixer with dough hook for 5 minutes or by hand on a floured surface for 8 minutes until smooth and elastic.
Fold chopped rosemary and grated Parmesan into dough, form a ball, place in greased bowl, cover, and let rise for 1 hour until doubled.
Preheat oven to 425°F (220°C) and line a baking sheet with parchment paper.
Punch down risen dough and divide into 8 equal pieces. Flatten each, place a mozzarella cube in center, then fold dough to seal.
Roll each ball into a 24-inch rope, twist into a pretzel shape, and place on the prepared baking sheet.
Bring 4 cups of water to boil in a saucepan. Carefully add baking soda.
Using a slotted spoon, boil each pretzel for 30 seconds, then drain on paper towels.
Brush pretzels with melted butter and sprinkle with coarse sea salt.
Bake pretzels for 12-15 minutes until golden brown.