Preheat the oven to 400°F and line a baking sheet 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 egg, almond flour, baking powder, monk fruit sweetener, and yeast and stir well to form a dough.

With oiled hands, form the dough into a ball. Cut the dough into 5 pieces. Roll each piece into a log, about 18 inches long. Form a log into a pretzel by arranging 1 piece into a U shape. Take one top end of the U and loop it around and down across the bottom. Repeat with the other top of the U, crossing over the first one. Arrange the pretzel onto the prepared baking sheet. Repeat with the remaining 4 dough pieces.

In a small bowl, beat the egg. Brush the pretzels with the egg wash. Sprinkle sea salt on each pretzel. Bake the pretzels for 10 minutes or until golden brown. Remove the pretzels from the oven and serve warm.