Preheat your air fryer to 350 degrees F (175°C) for 3-5 minutes.
Slice each hot dog lengthwise, careful not to cut through all the way. If desired, place a piece of cheddar cheese inside each hot dog and a slice of jalapeno.
Wrap each cheese-stuffed hot dog with a strip of pre-cooked bacon.
Roll out the Pillsbury Crescent Rolls dough on a lightly floured surface and cut it into strips with a pizza cutter.
Wrap each bacon-wrapped hot dog with a piece of dough, starting at one end and working your way down, slightly overlapping the dough to encase the hot dog fully.
Brush the tops of the dough-wrapped hot dogs with the egg wash.
Sprinkle coarse sea salt over the top of each pretzel dog.
Place the pretzel dogs in the air fryer basket and leave enough room between them for even cooking.
Air fry the pretzel dogs at 350°F (175°C) for 10-12 minutes until the dough is golden brown and cooked.
Once cooked, remove the pretzel dogs from the air fryer and let them cool slightly before serving.
Serve the air fryer pretzel dogs with queso cheese dip or your favorite dipping sauce on the side, and enjoy!