Make sure to spray the perforated convection steam oven pan to prevent sticking.
In a small pan, heat the milk and butter until warm. Pour the melted butter and milk into the mixing bowl of a stand mixer. Combine the rest of the dough ingredients and knead on medium low speed until smooth, about 8 minutes. Form into a ball, place in a greased bowl, cover and allow to rise for 1 hour, or until doubled in size. Preheat the convection steam oven to 375 °F on the Convection Steam Mode. Combine the baking soda and water in a large pot and bring to a boil. Divide the dough into 12 equal pieces. Gently roll each piece of dough into a ball. Place each ball of dough into the boiling solution. Allow to boil for 2 minutes, turning the balls over after 1 minute. Remove dough using a slotted spoon and place on a plate. Generously spray the perforated pan with cooking spray. Evenly space the 12 portions of dough on the pan. Brush the rolls with the egg wash and score the top of each bun with a sharp knife. Sprinkle with coarse salt if desired. Place the pan into the preheated oven on rack position 2 and bake until the pretzels are well browned, approximately 10-12 minutes.