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1
Finely grate cheeses into a large bowl. Stir in pimentos, black pepper, cayenne, and salt with a fork. Stir in mayonnaise, mashing mixture with fork until relatively smooth.
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2
Scoop rounded teaspoons onto a baking sheet lined with parchment. Freeze for at least two hours, or overnight.
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3
In the bottom of a stand mixer, combine water, sugar and salt. Sprinkle yeast over. Let set for 5 minutes until foamy. Add in flour, salt, and melted butter. Using the dough hook, mix the dough until combined on a low speed, Increase the speed to medium and mix for 5-7 minutes until dough becomes smooth and pulls away from the sides of the bowl.
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4
Rinse bowl off and then grease with canola oil. Place dough back in the greased bowl and cover with a clean kitchen towel on your counter, in a warm spot for 1 hour.
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5
Once the dough has risen, cut dough into 8 equal pieces. Roll dough into a rope 1-inch thick. With a sharp knife, cut into 1-inch bites. Using your palm, flatten the bite and fill with one heaping teaspoon of the chili. Close dough around a frozen cheese ball and re-form into the pretzel bite shape, if needed, roll to smooth edges. Repeat with remaining dough.
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6
Preheat oven to 450 degrees. Bring a large stock pot to a rolling boil. Add baking soda. Working in batches as necessary, add bites to the boiling water. Cook for 1 minute, flipping halfway through.
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7
Transfer pretzels to a greased baking sheet. Whisk egg and water together in a small bowl. Brush pretzels with egg wash and then sprinkle with kosher salt.
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8
Bake until golden brown, about 12-15 minutes.
