In a large bowl, combine the flour, cheese, baking powder, sugar and salt. Cut in butter until crumbly. Stir in milk just until moistened.
Knead on a floured surface for 1 minute; divide in half. Roll each portion into a 12x8-in. rectangle; cut each into 8-in.-long strips. Fold strips in half, pinching the edges, and twist into pretzel shapes.
Place on greased baking sheets. Brush with egg and sprinkle with coarse salt. Bake at 400° for 12-15 minutes or until golden brown. Serve warm.
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