Preheat the oven to 375°F and line a baking sheet with parchment paper.
Microwave the mozzarella and cream cheese for 1 minute, stir, then heat for another 30 to 40 seconds until melted and smooth.
Stir in the almond flour and baking powder. Let it cool for 1 to 2 minutes, then add the eggs and knead with your hands until a smooth dough forms.
With oiled hands, divide the dough into 6 pieces and roll each into a smooth ball. Flatten them slightly into discs about 3 1/2 inches wide and 1 inch thick and place them on the baking sheet.
Dissolve the baking soda in the hot water and brush it generously over the tops and sides of the buns. Wait 2 minutes, then brush with the beaten egg.Snip a cross on top of each bun with kitchen shears and sprinkle with coarse sea salt.
Bake for 18 to 22 minutes until deep golden brown with that classic pretzel color.
Cool for 10 minutes before splitting. Use them for burgers, bratwurst or pulled pork sandwiches.