Preheat the oven to 350°F. Line 2 baking sheets with parchment paper.

In a saucepan, add the mozzarella and cream cheese and melt over low heat, stirring. Transfer the melted cheese to a large bowl.

Add the almond flour, coconut flour, xanthan gum, baking powder, 1 egg, vanilla extract, ½ teaspoon cinnamon, and ¼ cup erythritol sweetener. Whisk until the mixture is smooth and well combined. Divide the dough into 4 equal parts (or 6 if you want smaller pretzels).

With your hands slightly wet, roll each piece of dough into a thick log, about 12-inches long. Fold the edges to create a “U” shape. Twist the sides to create a pretzel shape. Place the pretzels on the prepared baking sheets.

Slightly beat the remaining 1 egg. Brush the pretzels with the egg.

In a small bowl, whisk the remaining 1½ teaspoons cinnamon and the remaining 3 tablespoons erythritol sweetener. Sprinkle the cinnamon mixture over the pretzels. Bake for 22 to 25 minutes, until golden brown.

Serve warm or at room temperature.