Heat oven to 400°F. In small bowl, mix Filling ingredients; set aside. Spray large cookie sheet with cooking spray. Unroll dough onto lightly floured surface; press to 14x12-inch rectangle. Cut lengthwise into 4 strips.
Spoon filling onto long edge of each dough strip. Stretch dough over filling, press to seal. Cut each strip in half, making 8 filled pieces. Stretch each piece to 12 inches. Form dough into pretzel shape.
In microwavable bowl, stir baking soda and water. Microwave uncovered on High 1 to 2 minutes or until hot. Brush each pretzel with baking soda mixture. Let stand 5 minutes.
Brush pretzels with beaten egg; sprinkle with sugar. Place on cookie sheet.
Bake 8 to 10 minutes or until pretzels are deep golden brown.