In a stand mixer or in a large bowl with a spatula, whip the cream cheese and butter together until fully incorporated.
Add the blue cheese, hot sauce, Worcestershire, shallot, cayenne, and salt and pepper. Mix thoroughly, and turn onto a sheet of plastic wrap.
Refrigerate for 2 to 3 hours, or at least until the cream cheese mixture is firm to the touch.
Remove the cheese ball from the refrigerator, and shape into a ball. Crush a significant amount of the pretzels and, on a baking sheet, roll the cheese ball into the pretzels so that it is fully covered. Serve with celery and carrots.