Put the self-rising flour and plain, fat-free Greek yogurt in the bowl of a stand mixer with the dough hook attachment.
Mix at a low speed until combined. Then, knead at a medium speed for about 3 minutes until a ball forms. If the dough is too sticky, add more self-rising flour (or if you are using a homemade mix of self-rising flour, you can just add flour) a little at a time until it is no longer sticky.
Start boiling your water if you haven't already.
Preheat the air fryer at 400 °F for 5 minutes.
Turn the dough out onto a floured surface. Sprinkle the top with flour, knead a couple of times, and form the dough into a ball. Cut the dough ball into fourths.
Roll each piece of dough into a long rope. Cut each rope into about 12 small segments. (I first cut it in half, then half again, then cut each fourth into thirds).
Dissolve baking soda in boiling water. Dip the dough segments into the baking soda mixture. Place directly onto a lightly sprayed (with oil) air fryer basket. Add as many pretzel bites as you can, but don't overcrowd the basket.
You will likely need to cook in 2 batches. Air fry at 400 °F for 5-6 min, or until internal temp is 205 °F
Mix the cinnamon, sugar, and brown sugar together
Remove from the air fryer basket, cook the second batch.
Brush the pretzel bites with melted butter. Dip and cover the pretzels in the cinnamon sugar mixture.
Enjoy with dipping sauce.
For the dipping sauce, add the powdered confectioner's sugar, whole milk, vanilla, and melted butter to a medium bowl. Whisk together until combined. You may need to add more milk depending on your preferred consistency.