01 - Preheat oven to 425°F. Line a baking sheet with parchment paper.
02 - In a large mixing bowl, whisk together the flour, baking powder, baking soda, fine sea salt, and granulated sugar until fully incorporated.
03 - Add cold cream cheese and unsalted butter to the dry mixture. Cut in with a pastry cutter or fork until mixture forms pea-sized crumbs.
04 - In a separate bowl, whisk together the whole milk and egg. Pour into the flour mixture and stir until just combined; avoid overmixing.
05 - Using a large spoon or ice cream scoop, portion 8 equal mounds of dough onto the prepared baking sheet, spacing well apart.
06 - In a small saucepan, bring 1/3 cup water to a boil. Stir in baking soda until dissolved. Brush the top and sides of each scone generously with this solution for a pretzel-style crust.
07 - Brush each scone with beaten egg yolk. Sprinkle generously with coarse pretzel salt or flaky sea salt.
08 - Bake for 14 to 16 minutes, or until scones are deep golden brown. Allow to cool slightly before serving.