Preheat oven to 450 degrees F. Fill a large pot with 6 cups water and baking soda. Bring to a boil over medium high heat. Place a wire rack over a baking sheet and line a separate baking sheet with a silpat or spray with nonstick cooking spray.
In a medium bowl, mix the bratwurst and cheddar cheese until combined; set aside. Unroll the pizza dough with the longest side parallel to the edge of the counter. Cut the dough into 6 equal strips.
Spoon the bratwurst and cheese mixture down the center of the dough, then fold up the edges and pinch to close tightly. Roll each into a long rope, then knot into a pretzel shape, keeping space between the dough.
Boil the pretzels for about 30 seconds, then use a large slotted spoon to remove them from the water and drain on the wire rack. Place the pretzels on the silpat, brush with egg and sprinkle over the salt. Bake the pretzels until dark and sausage is cooked through, about 13-15 minutes.
To make the sauce, in a medium bowl, whisk to combine the mayonnaise, mustard, ketchup and Jagermeister. Dip the pretzels in the sauce to serve.