To make the pretzel bites, pour warm milk into a medium bowl (I microwaved my milk on high for about 30-60 seconds) or into the bowl of your stand mixer. Sprinkle the yeast over the milk and let sit for approximately 10 minutes to proof (mixture will be frothy).
Once frothy, add the brown sugar and melted butter and mix gently with a wooden spoon. Add the flour and salt and mix well with a wooden spoon or mix on low in your stand mixer with the dough hook attachment. Add more flour a tablespoon at a time until the dough is wet but not too sticky.
Knead with the dough on low to medium speed for approximately 5 minutes, until dough starts pulling away from the surface of the stand mixer. If your mixing by hand, turn the dough out onto a floured surface and knead by hand for 5 minutes.
Shape dough into a ball then place in a greased bowl and cover with a kitchen towel or plastic wrap. Let rise for about 1 hour in a warm place, until dough has doubled in size. I like to preheat the oven to 250°F while I'm kneading the dough then I turn it off before placing the dough in it to rise.
Once it's risen, punch down the dough with your fist gently and divide it evenly into 4 equal pieces. One piece at a time, roll the dough into a 12 inch long rope on a well floured surface. Roll the rope out to 2 inches thick so you have a long rectangle. Repeat the process for the other 3 sections. Cut each long rectangle into 6 pieces so you have 2x2 squares.
Place a heaping 1/2 teaspoon of Nutella in the center of each piece of dough. Gently fold one side of the dough over the Nutella and pinch all of the seams closed. Repeat the process until all of the dough is sealed with Nutella inside.
Preheat oven to 450°F and line a large baking sheet with parchment paper. Set aside.
For the baking soda batth, dissolve the baking soda in warm water in a medium bowl or dish. Dip each pretzel bite in the bath for a couple of seconds then transfer to prepared baking sheet. Bake for 8-10 minutes or until tops begin to turn golden brown. Some of the Nutella may come out of some of them. This is okay.
Once baked, allow to cool for approximately 5 minutes. Dip each pretzel in the melted butter then coat in the cinnamon sugar mixture. Eat immediately or store in an air tight container for a couple of days.