Heat oven to 450 degrees. Spray baking sheet with oil or line with parchment paper.
In mixing bowl, combine water, sugar, and yeast. Mix until combined. Let rest 5–10 minutes.
Add salt and 4–1/2 cups flour to mixture; mix on low speed until combined.
Add melted butter. Increase speed to medium and continue mixing until dough begins to pull away from side of bowl, about 3–4 minutes. If dough appears too wet, add additional flour, 1 tablespoon at a time.
Remove dough from bowl, place on flat surface, and form into ball. Divide dough into 36 equal pieces.
Form each dough piece into ball and then flatten into circle. Place a piece of pepperoni and piece of mozzarella in the center of dough circles; sprinkle with parmesan.
Carefully pull dough edges over cheese and roll dough into ball. Make sure cheese is completely covered and dough is sealed.
Set aside and repeat until all 36 dough balls are stuffed.
Bring a large pot of water to boil and carefully add baking soda; it will bubble up.
Place pretzel dough balls into boiling water, a few at a time. Remove with slotted spoon after 30 seconds.
Place on parchment paper and continue with remaining pretzels.
Arrange all pretzel balls on baking sheet without touching each other. Brush with beaten egg and sprinkle with coarse salt.
Bake 8–10 minutes until tops are browned. Serve pretzels warm with marinara sauce for dipping.