Combine the water and baking soda in a large pot and bring to a boil.
While the water is coming to a boil, cut each biscuit into four pieces. Roll each piece between your hands to form a ball.
When the water begins to boil, drop the dough balls into the pot four at a time. Allow the dough to cook two to three minutes, until it floats to the top and begins to expand.
Transfer the cooked dough to a paper towel lined plate to dry, then place each piece on the air fryer tray or basket.
Preheat the air fryer to 400 degrees.
Brush each pretzel piece with egg and place the tray in the air fryer to cook for 5 to 6 minutes, until the outside of the pretzels is deep golden brown. Continue cooking in batches until all the pretzel pieces have been cooked.
Before serving, brush the pretzel pieces with melted butter and top with coarse salt.