Remove dough from package and let rest on a floured work surface for 10-15 minutes. Preheat oven to 425°F. Spray a large baking sheet with cooking spray, or line with parchment paper. In a small bowl, beat egg with water. Set aside. Roll dough into a large rectangle. Cut dough lengthwise into 4 strips with a pizza cutter. Spread cheese along one edge of a dough strip. Lightly brush the other edge of the strip with egg wash, then stretch the dough over the filling and roll until dough is closed. Repeat for remaining strips. Transfer rolls to baking sheet, seam side down. To make the pretzel shape, form each roll into a “U”, twist the ends twice around one another, then overlap the ends over the bottom of the “U”. Generously brush the egg mixture over the top of the shaped pretzel and underneath where the dough overlaps. Bake 18 to 20 minutes, until the tops of pretzels turn golden brown.