Start by dissolving the sugar in warm water and sprinkling in the yeast. Let it sit until foamy, then mix in flour, salt, and melted butter. Knead until smooth and elastic, then let it rise until doubled in size.
In a bowl, mix softened cream cheese, cheddar, chopped jalapeños, and garlic powder. Stir until smooth and evenly combined. The filling should be thick but spreadable.
Divide the dough into equal portions and flatten each into a small circle. Spoon filling into the center and pinch the edges tightly to seal. Roll gently to form smooth balls.
Bring a large pot of water to a boil and carefully add baking soda. Lower each dough ball into the water for about 30 seconds. This step creates that chewy pretzel crust.
Place the boiled rolls on a lined baking sheet. Brush with egg yolk, sprinkle with coarse salt, and bake until deep golden brown. Let them cool slightly before serving.