In a glass measuring cup, combine yeast, warm water, and sugar. Stir and let sit about 5-10 minutes or until yeast foams and bubbles.
In a large bowl, mix 4 cups flour, salt, oregano, and garlic. Pour in yeast mixture and melted coconut oil and stir until a soft dough ball forms. Turn onto a lightly floured surface and knead for about 5 minutes until cohesive. If dough feels too sticky, add flour 1tbsp at a time. The dough should be soft and pliable but should not leave a lot of residue on your hands. Oil a clean bowl and place dough inside, turning once to coat both sides with oil. Cover with a sheet of plastic or a tea towel and let rise in a warm, draft-free area until doubled in size, about an hour.
Preheat oven to 425 degrees and line two baking sheets with parchment.
Bring 3-4 quarts of water and baking soda to a boil. While the water heats, form your pretzels! Divide dough into 8 roughly equal-sized balls. One at a time, roll into a long rope about 14 x 3 inches. Spread about 2 tbsp filling across the length of the rope, leaving an inch of room on all sides. Roll the piece from the long side until filling is fully covered and pinch the seam gently but firmly, then lightly roll along the seam until smooth. To form the pretzel shape, take the right end and loop over to the left side, then the left end and weave through the right end once, sealing the end on the right (see photo above if confused!) Set completed pretzel onto baking sheets and repeat with remaining dough and filling.
Once water comes to a boil, drop 1-2 pretzels carefully into the liquid and cook for 30 seconds. Remove with a slotted spoon or spatula and allow excess water to drip back into the pot. Set onto parchment lined baking sheet. Once all pretzels are boiled, brush generously with egg wash and sprinkle liberally with salt.
Bake pretzels 15-18 minutes or until a rich golden brown in color. Remove from oven and cool for 5 minutes. Serve! Highly recommend pairing these with tzaziki sauce.