Make the dough:

• To a mixing bowl, mix together the milk, dry yeast, salt and sugar and let rest for 10 minutes.Add the flour and butter to the milk and yeast. Use your hands to rub and mix the butter into the flour, then use your fingers to mix to combine with the liquid until it comes together in a ball. Knead the dough in the bowl until it no longer sticks to your hands (wiping the dough off your hands as you go). Lightly oil the bowl and return the dough to the bowl, cover and let rest for 1 hour in a warm place. I use the microwave oven (turned off).
• Divide the dough in half, and cut those each in half, continue this way until you get 16 pieces. Put all the piece back into the bowl and cover, keeping 1 piece out. 
  Preheat oven to 400°F/200C and line a large baking sheet with parchment/baking paper or a non-stick mat. Add the 2 liters of water to a large pan and bring to a boil. Turn off the heat and stir in the baking soda.
  
• Roll out the piece of dough into a long rope. Use a rolling pin to flatten and make it thick. Add a pieces mozzarella (not strips or it will not bend) and a little Parmesan. Fold all the way along lengthways, covering the cheese, pinching the seam well, then continue to roll into an even thickness. Pressing as needed to keep the cheese inside.
  Make an ’n’ with the dough, with the ends closest to you. Take the ends and twist them twice around each other, then bring the ends to the top edge furthest away from you and press in place. Place onto the baking sheet while to finish the rest.
  
• Using a fish spatula, pick up a pretzel and immerse in the hot water until it floats, then remove and put back onto the baking sheet, repeat with all. Lightly sprinkle the tops with coarse sea salt and a small sprinkling of grated Parmesan cheese.
  
• Bake them in the hot oven for 15 minutes, or, until they are golden brown (time will depend on your oven).