Preheat the oven to 400F. Half fill a large pot with water and add the baking soda. Bring to a boil.
Use a rolling pin to get the roll spread out to a 4" circle or use your hands. Place about a tablespoon of cheese and a tablespoon of chopped ham in the middle of the 4" dough circle. Press the seams very well to seal the ham and cheese in completely.
Working in batches, boil the dough balls in the poaching liquid 1 minute. Remove from the water to a greased baking sheet (make sure it’s greased or the buns will stick). Slice a small, shallow “X” on the top of each roll with a sharp knife (be careful to not cut through to the cheese!). Add water to the egg and mix to make an egg wash. Brush dough balls with the egg wash. Sprinkle tops with sea salt.
Bake 15-20 minutes at 400 or until well browned. Yields 12 buns.