In a bowl, sprinkle the yeast on the surface of warm water. I used Fleischmann's because that is what I had on hand, but you can use any other brand of yeast that you like.
Set aside.
In a mixing bowl, combine the coconut flour, almond flour, baking powder, and xanthan gum.
Stir to combine.
In a microwave-safe bowl, heat the mozzarella and cream cheese in the microwave, stirring after each 15-second interval until melted and smooth.
Add dry items to the cheese mixture.
Add the egg and yeast water and mix until the dry ingredients and cheese form a dough.
Divide the dough into small balls.
Roll the balls into ropes.
Fashion the ropes into pretzel shapes.
Brush the tops with melted butter and sprinkle with coarse salt.
Bake at 350 degrees for 15 minutes or until the tops are browned.
Serve with mustard or eat plain.