Mix warm water and yeast in the bowl of a stand mixer. Let it sit until the yeast dissolves and starts bubbling - for about 5 minutes.
Combine the milk, butter, sugar, and salt in a microwave-safe bowl. Then microwave for about a minute. Stir until the sugar and butter melt. Avoid getting it too hot so it doesn't kill the yeast.
Dump everything into the yeast mixture and mix for 2 minutes on medium. Next, add about 4½ cups of flour and continue mixing until a soft dough forms. It will start pulling away from the side of the bowl.
Turn out the dough on a lightly floured surface and knead for 5-6 minutes.
Place the pretzel dough in a greased bowl, covered loosely with a clean cloth, and let it rise in a warm, draft-free place for 1-2 hours or until the dough has doubled.
Punch the dough down and place it on a lightly floured work surface. Divide the dough into 18-20 pieces. Roll each piece into a rope to wrap around the hot dogs or sausage.
Preheat the oven to 425℉ (220℃). Line a baking sheet with parchment paper. Set aside.
Wrap the pretzel dough around the hot dogs, leaving about an inch of hot dog peeking out on each end. Tightly pinch the dough at the seam to secure it.
Next, bring water to a boil and add the baking soda. Place the wrapped pretzel dogs in the boiling water for about 30 seconds. Remove them with a slotted spoon and place on a paper towel to soak up excess water. Repeat the process with the rest of the pretzel dog.
Transfer the hot dog pretzels to the prepared baking pan, positioning them so they don't touch.
Finally, brush each pretzel dog with the egg yolk mixture and sprinkle with salt, sesame seeds, or your spice of choice.
Bake for about 15-17 minutes until golden brown.
Let them cool for a couple of minutes and serve with mustard, ketchup, or your dipping sauce of choice.