Preheat the oven to 350 degrees F. Line a rimmed baking sheet with parchment paper.
In a medium bowl, whisk together the almond flour, Parmesan, baking powder, garlic powder, onion powder, and cayenne.
In a large microwave-safe bowl, combine the mozzarella cheese and cream cheese. Microwave for 30 seconds. Stir, microwave until completely melted (30-40 more seconds), and stir again.
Quickly add the almond flour mixture and the beaten egg. Mix to incorporate, then knead until smooth.
Divide the dough into 4 equal portions. Roll each portion into a thin 18-inch rope, then shape the rope into a pretzel, as shown in the video.
Brush the tops of the pretzels with the egg wash and sprinkle with coarse salt.
Bake the pretzels until golden brown, 15-18 minutes. Serve them immediately.
Video
Notes
It's best to measure almond flour by weight. If you measure it by volume, make sure not to pack it into the measuring cups. It should be loosely packed. If you have leftovers, it's best to freeze them in freezer bags, and gently thaw them in the microwave. They don't keep very well in the fridge, but they do keep well in the freezer.