For the Pretzel Rolls: In a large bowl or the bowl of your stand mixer fitted with the dough hook attachment, add the water, yeast and sugar. Stir and let rest 5-10 minutes until foamy.
Add 3 cups of the flour, the salt and the melted butter. Mix using the dough hook or a spoon until combined well. Add additional flour in 1/4 increments until you have a smooth dough that is moist but not sticky. Remove dough to a greased bowl. Cover with a plastic wrap and allow to rise in a warm place for 1 hour or until doubled in bulk.
Line 1 large sheet pan with parchment paper and set aside. Spray or grease an 8 or 10-inch cast-iron skillet and set aside.
Gently deflate the dough and turn it out onto a lightly floured surface. Using a bench scraper or sharp knife, cut the dough into 16 equal pieces. To shape the rolls, take a piece of dough and start forming a round, smooth ball by pulling the sides towards the centre and pinching to seal. Place, pinched side down, onto parchment lined baking sheet. Continue until all of your rolls are shaped. Cover and let rest for 15-20 minutes.
Preheat oven to 425° F. and place oven rack in the middle position. In a large stock pot or Dutch oven, bring 2 quarts of water to a boil. Slowly add the baking soda (*slowly, as it will bubble up a lot!).
Place 2-3 of the rolls at a time into the water, seam side down. Boil for 30-45 seconds and then carefully turn the roll over and boil for another 30-45 seconds. Remove with a slotted spoon to the same prepared baking sheet, seam side down. Repeat with the remaining rolls.
Once all rolls are boiled, arrange in a ring in your greased cast-iron skillet, pushing them together so you fit 12 rolls into an 8-inch skillet or 16 rolls into a 10-inch skillet (If using 8-inch skillet, you'll have 4 rolls left-over. You can just bake them off separately and use them for dipping or other purposes).
Using a pastry brush, brush each roll with the beaten egg, making sure to coat all sides completely and then sprinkle each roll with a little pretzel or coarse.salt. Using a sharp knife, cut a slash in the top of each roll.
Bake the rolls in the preheated oven for about 20 minutes or until very golden and they sound hollow when tapped. Set aside to cool while you make the cheese dip. (Can be made ahead.)
For the Cheese Dip: In a large sauce pan, melt butter over medium heat. Add the flour and whisk to combine, then cook whisking continually for about one minute until smooth. Gradually add milk, whisking to incorporate and cook, stirring regularly, until mixture begins to thicken, 6-8 minutes. (The sauce should begin to coat the back of the spoon.) Remove from heat and stir in the 2 cups of the shredded cheese. Let stand for a few minutes then stir until cheese is fully melted and sauce is smooth. (If necessary, return to a warm element for a minute longer to melt cheese completely). Once sauce is smooth, add the salsa, 2/3 of the diced jalapeno and 2/3 of the diced tomato, along with the last 1/2 cup of the shredded cheese. Stir to combine. Let stand at room temperature for 10 minutes, transfer to a microwaveable bowl, then cover and place in the refrigerator for at least 15 minutes to allow it to thicken. (Can be made ahead)
To serve: Spoon cheese dip into centre of rolls and sprinkle with remaining diced jalapeno and tomatoes. If you've made ahead and want to re-warm, cover with aluminum foil and place into a 350° oven until warmed, 10-15 minutes.