In a small bowl, combine warm water, sugar, and yeast. Let it sit for about 5 minutes until frothy.
In a large mixing bowl, combine flour, salt, and melted butter. Pour in the yeast mixture and add the chopped rosemary. Mix until a dough forms.
Knead the dough on a floured surface for about 5-7 minutes until smooth.
Place the dough in a greased bowl, cover with a damp cloth, and let it rise in a warm place for about 1 hour, or until doubled in size.
Preheat the oven to 425°F. Line a baking sheet with parchment paper.
In a large pot, bring 10 cups of water and baking soda to a boil.
Punch down the risen dough and divide it into 8 equal pieces.
Roll each piece into a long rope (about 24 inches). Place a cube of mozzarella in the center of each rope and fold the dough over to seal it.
Twist the rope into a pretzel shape and place it on the prepared baking sheet.
Carefully drop each pretzel into the boiling baking soda water for about 30 seconds, then remove with a slotted spoon and return to the baking sheet.
Brush each pretzel with the beaten egg and sprinkle with coarse sea salt and grated Parmesan cheese.
Bake in the preheated oven for 12-15 minutes or until golden brown. Allow to cool slightly before serving.