Make the dough: In the bowl of a stand mixer fitted with the paddle attachment add in milk, butter, brown sugar and yeast. Gently mix and allow to proof for 5 minutes.
Add in the flour and salt and mix on low just until loosely combined, gently scraping down the sides. Mix until a soft, smooth elastic ball forms, about 8-10 minutes. The dough should pull away from the sides (though it may not be fully pull away) of the bowl but still be wet/tacky to the touch. Remove the dough from the bowl and place on a very lightly floured surface, give it a few kneads by hand. Place in a lightly oiled bowl (at least 2-3 times bigger than the ball) and cover with plastic wrap. Allow to rise until doubled in size; about 60-90 minutes.
Make the cheesesteak filling: In a large skillet over medium-high heat add in 1 tablespoon of oil. When the oil begins to shimmer add in the onions and peppers. After a minute add half of the salt, pepper and garlic powder. Stir to combine. Cook until softened, about 6-8 minutes. Remove to a bowl.
In the same skillet add the remaining tablespoon of oil. Season the steak with the rest of the salt, pepper and garlic powder. Gently mix. Add the meat to the skillet and cook just until no longer pink, about 2-3 minutes. Add back in the onions and peppers. Stir to combine and remove the pan from the heat and set aside.
Assemble the buns: Turn the dough out onto a lightly floured board. Cut into 12 even pieces. Gently form into a ball and then pat each ball out into 5x3-inch rectangle. To the center of the rectangle, add some of the meat mixture and then top with a chunk of each piece of cheese. Fold up the bottom, then each side and then roll to close. Pinch the seams closed. Make sure that the dough is not patted too thin as the mixture will leak out.
Place on a lightly sprayed parchment paper. Repeat for each bomb. Cover and let rest.
Preheat the oven to 425°F, rack in the middle. In a large pot add the 6 quarts of water. Bring to a rolling boil and add in the baking soda.
One at a time, using a slotted spoon gently drop in the pretzel cheesesteak bomb and boil for 20 seconds. Remove with a slotted spoon, letting the water drip off and then place back on the sprayed parchment. Repeat until all 12 are done.
Brush the bombs with the egg mixture and sprinkle pretzel salt.
Bake for 15-20 minutes or until there is a deep caramel pretzel color. Gently remove from the tray and cool slightly before serving. Store any leftovers in the fridge.