Finely grate cheeses into a large bowl. Stir in pimentos, black pepper, cayenne, and salt with a fork. Stir in mayonnaise, mashing mixture with fork until relatively smooth.
Scoop rounded teaspoons onto a baking sheet lined with parchment. Freeze for at least two hours, or overnight.
Pimento Cheese Stuffed Pretzel Bites
In the bottom of a stand mixer, combine water, sugar and salt. Sprinkle yeast over. Let set for 5 minutes until foamy. Add in flour, salt, and melted butter. Using the dough hook, mix the dough until combined on a low speed, Increase the speed to medium and mix for 5-7 minutes until dough becomes smooth and pulls away from the sides of the bowl.
Rinse bowl off and then grease with canola oil. Place dough back in the greased bowl and cover with a clean kitchen towel on your counter, in a warm spot for 1 hour.
Once the dough has risen, cut dough into 8 equal pieces. Roll dough into a rope 1-inch thick. With a sharp knife, cut into 1-inch bites. Using your palm, flatten the bite and fill with one heaping teaspoon of the chili. Close dough around a frozen cheese ball and re-form into the pretzel bite shape, if needed, roll to smooth edges. Repeat with remaining dough.
Preheat oven to 450 degrees. Bring a large stock pot to a rolling boil. Add baking soda. Working in batches as necessary, add bites to the boiling water. Cook for 1 minute, flipping halfway through.
Transfer pretzels to a greased baking sheet. Whisk egg and water together in a small bowl. Brush pretzels with egg wash and then sprinkle with kosher salt.