First, prepare pretzel dough. Add milk and 5 tablespoons of butter to a microwave-safe dish. Microwave for 1 minute and 30 seconds or just until the butter melts. Do not overheat. Remove from microwave. Mix in brown sugar until dissolved and set aside.
Add flour, salt and yeast to a stand mixer and knead until combined. Slowly add milk mixture until a dough ball forms.
Take out of mixer and knead with hands on a clean surface until dough is round and smooth. Place in a greased bowl and drizzle top with olive oil. Gently rub oil over the dough to help keep it soft.
Cover top of bowl with plastic wrap and let rest for 1 hour or until the dough doubles in size.
Add all ingredients for buffalo blue cheese filling to a large bowl and combine.
Preheat oven to 450 degrees F.
Add water and baking soda to a bowl. Mix until combined and set aside.
Cut dough into 12 even pieces. Roll each piece into a ball and roll flat. Scoop buffalo chicken filling onto each piece of dough and shape into a ball. Working quickly, dunk each ball into the baking soda mixture and place on a large, greased skillet.
Sprinkle everything bagel seasoning on top and bake for 10-15 minutes.