First prepare your buffalo chicken filling. In a large bowl, fold together the shredded chicken, cream cheese, celery, cayenne pepper sauce, garlic powder, salt, and black pepper. Set aside.
In a small bowl, combine the yeast and the water. Let stand for 5 minutes or until the yeast foams. Add the yeast mixture, flour and salt to the bowl of your stand mixer, with dough hook attachment fixed. Mix on medium-low speed for about 5 minutes or until the dough comes together in a ball around the hook. If you find that the dough isn't coming together, add a little bit more water until it does. Transfer the ball to a large bowl that has been drizzled with 1 tablespoon of olive oil. Toss to coat the entire dough ball and then cover with a damp towel. Let it rest until it has doubled in size, about 1-2 hours.
Once the dough has doubled, transfer it to a lightly-floured work surface. Form it into a large square, about 1 inch high and cut it into 2-inch squares (I had about 10 squares when all was said and done - this will vary).
Place a tablespoon of the buffalo chicken mixture into the middle of each square. Brush the edges with beaten egg, fold up the sides and pinch. Roll the dough around in your hands until it forms a ball and place it, seam side down, on a large plate. Repeat this step for the rest of the squares.
Preheat your oven to 425 degrees F and line a large baking sheet with parchment paper.
Bring the 3 quarts of water to a boil. Once boiling, very slowly add the baking soda. Be careful not to dump it in. It will foam up and over if you do. Add it in very small increments. Add the bites to the boiling water in batches of 3 and boil for about a minute. With a spider spatula, transfer the bites to the prepared baking sheet.
Brush the pretzel bites with egg and sprinkle with coarse sea salt. Bake them for 15 minutes, or until they are golden brown on top.
Serve immediately with homemade blue cheese and celery. Enjoy!