Mix warm water, sugar, and yeast in a large bowl. Let sit 5 minutes until foamy. If it doesn’t foam, your yeast may be inactive.
Add flour and salt to the yeast mixture. Stir, then knead for 8–10 minutes until smooth. Add extra flour 1 tbsp at a time if sticky.
Cover and let the dough rise in a warm spot for 30–45 minutes until doubled in size.
Combine mozzarella cubes, chopped rosemary, and Parmesan in a bowl. Set aside.
Divide dough into 8 parts. Roll each into an 18-inch rope, flatten, fill with cheese mix, fold over, seal edges, and shape into pretzels.
Heat 4 cups water until nearly boiling. Remove from heat, stir in baking soda. Dip pretzels for 30 seconds, then drain.
Place pretzels on a parchment-lined sheet. Top with Parmesan and rosemary. Bake at 425°F (220°C) for 15–20 minutes until golden and crisp.
Let cool slightly before serving to set the cheese and avoid burning your mouth.