In a small saucepan, warm the milk and water over low heat until it reaches around 110°F. Make sure it's not too hot, as it can kill the yeast. Remove from heat.
In a large mixing bowl, combine the active dry yeast and granulated sugar with all-purpose flour. Pour the warm milk and water mixture over it, add olive oil and stir until a dough forms.
Knead the dough on a lightly floured surface for about 10 minutes until it becomes smooth and elastic.
Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise for about 1 hour or until it has doubled in size.
Preheat your oven to 450°F. Line a baking sheet with parchment paper.
In a large pot, bring the gallon of water to a boil, then add the baking soda.
Divide the dough into 12 equal portions and roll each portion into a long rope. Shape each rope into a pretzel.
Carefully dip each pretzel into the boiling water for about 30 seconds, then place them on the prepared baking sheet. Work in several batches.
Sprinkle coarse kosher or sea salt on top of each pretzel.
Bake the pretzels in the preheated oven for 12-15 minutes or until they are golden brown.