In a small bowl, mix together yeast and 2 Tbsp. sugar in 1 1/2 cup warm water. Let stand until foamy and creamy (about 5-10 minutes). Add oil to yeast mixture and set aside.
In a stand mixer bowl, or large bowl combine flour and salt.
Pour yeast mixture into flour mixture and knead on low speed for 10 minutes. (If mixing by hand, knead dough for same amount of time.)
Place dough in a lightly oiled bowl, turning to coat. cover with plastic wrap and let rise in a warm place for 1 hour or until doubled in size.
When dough has risen, turn out onto a lightly floured surface and divide into 8 equal pieces.
Roll each piece into a rope and twist into a pretzel shape (or you can cut the rope into "bite size pieces to make pretzel bites).
Preheat oven to 450 degrees. Place foil over a baking sheet and spray with cooking spray.
In a large saucepan, dissolve baking soda in 5 cups water and bring to a boil, stirring until soda is dissolved. Remove from heat.
Dip each pretzel into the baking soda-water solution for 10-20 seconds. Using a slotted spatula, remove from water and place pretzels on baking sheet.
In a small bowl, beat egg with 1 Tbsp. water until foamy. Brush egg mixture over the top of each pretzel and sprinkle with sea salt.
Bake in preheated oven until golden brown, about 8-10 minutes.