Mix water, sugar, and yeast in a large bowl. Let it sit until frothy (about 5 minutes).
Add flour and salt, kneading into a smooth dough.
Cover the dough and let it rise for 30-45 minutes. Preheat oven to 425°F (220°C). Line a baking sheet with parchment paper.
Mix mozzarella, rosemary, and Parmesan for the filling.
Divide the dough into 8 portions, roll into ropes, flatten, and spoon filling into the center.
Fold the dough over the filling to seal, then shape into pretzels.
Dissolve baking soda in hot water. Dip each pretzel into the soda bath for 30 seconds and transfer to the baking sheet.
Top pretzels with Parmesan, salt, and rosemary. Bake for 15-20 minutes until golden brown. Cool briefly before serving.