Preheat the oven to 425°F (220°C) and line a large baking sheet with parchment paper.
Place pizza dough on a clean work surface and using a rolling pin, roll the dough out into a rectangle with a ¼-inch thickness.
Using a pizza cutter, cut the rolled-out dough in half lengthwise. Then, cut each half into 12 strips, each 1 inch wide, for a total of 24 strips.
Place one sausage onto each strip of dough.
Tightly roll the sausage in the dough until it is completely wrapped.
In a medium saucepan over medium heat, bring the water to a light boil.
Add the baking soda and stir until dissolved.
Working in batches of 3-4, add the pretzel dogs to the boiling water. Boil for 20-30 seconds, then use a slotted spoon to remove them and place on the parchment-lined baking sheet. Repeat with the remaining pretzel dogs.
Use a pastry brush to brush the outside of each pretzel dog with the beaten egg.
Sprinkle each pretzel dog evenly with kosher salt.
Bake for 15-18 minutes, or until the dough is golden brown.
Serve warm with cheese sauce for dipping.