Cream cheese filling: In a mixing bowl, mix the softened cream cheese, powdered sugar, and vanilla with an electric mixer. Add the filling to a large ziplock bag or piping bag. Set aside.
Thaw the dinner rolls on a baking sheet sprayed with nonstick cooking spray. My rolls thawed were ready in 3 hours.
Once thawed, stretch and roll two dough balls into a long rectangle on a counter dusted with a little bit of all purpose flour.
Cut the end off of the filled ziplock bag or piping bag and pipe a line of cream cheese filling down the center of the flattened long ropes of dough.
Carefully cover the filling with the dough on either side and pinch the sides of the dough and ends together so no filling is showing.
Shape the dough into a pretzel shape by twisting the two ends together, then folding it over. Pinch the ends of the dough into the pretzel.
Allow the pretzels to rest for 10 minutes, while you prepare the baking soda wash.
Baking Soda Water Bath: Bring the water and baking soda to a rolling boil in a large saucepan, then reduce the heat so that the mixture is simmering.
Place a pretzel in the boiling/simmering baking soda water for about 45 seconds. Then remove the pretzels with a slotted spoon and place on a wire rack. Repeat with the remaining pretzels.
Egg Wash: beat an egg with about 1 tablespoon of water. Use a pastry brush to brush the egg wash on top of the pretzels.
Air Fryer Instructions: Preheat the air fryer to 350 degrees and spray the basket with nonstick cooking spray. Place the pretzels, in a single layer, on the bottom of the air fryer basket. You may have to cook them in batches. Air fry them for 8-10 minutes until they are golden brown.
Oven Instructions: Place the pretzels on a parchment paper-lined baking sheet and bake at 425 degrees for 8-10 minutes, until the pretzels are golden brown.
Cinnamon Sugar Topping: Mix the cinnamon and sugar together in a small bowl. Use a pastry brush to brush the tops of the pretzels with melted butter. Then use a spoon to sprinkle the cinnamon sugar over the pretzels. Serve the warm soft pretzel warm.