In the bowl of a stand mixer fitted with a dough hook, mix together the water, yeast, sugar and salt, and let stand for around 10 minutes until it becomes creamy.
Slowly mix in the flour, butter and jalapenos on medium speed until smooth, around 10 minutes.
Cover the dough with a cloth, and place it in a warm area to double in size, around 1 hour.
Preheat the oven to 425°F. Line a baking sheet with parchment paper or a silicone baking mat and set aside.
In a large saucepan, combine the water and baking soda, and bring to a boil.
Divide the dough into 8 equal pieces.
Roll each piece into a 16 inch long rope. Roll each rope out so that it is 4 inches wide.
In a medium bowl, mix together the cheese and the bacon.
Spread the cheese and bacon mixture evenly in each of the pretzel ropes. Roll the dough jelly roll style and pinch the ends.
Twist the pretzel ropes into a pretzel shape, then place in the boiling water for 30 seconds. Remove from the water, and place on the prepared baking sheet. Repeat for the remaining pretzels.
In a small bowl, beat the the egg.
Brush the tops of the pretzels with the egg wash, and sprinkle them with any remaining bacon and cheese mixture.
Bake in the preheated oven for 17-20 minutes, or until the pretzels are golden brown.