Preheat oven to 425 degrees, line one baking sheet with parchment paper or a Silpat mat, set aside.
In the bowl of a stand mixer fitted with the paddle attachment, add warm water. Sprinkle yeast and allow to dissolve for 2-3 minutes. Add sugar and vanilla, mix for 15 seconds. With mixing speed on low add salt and cinnamon, then flour a half cup at a time. When all of the flour is gone, switch to the dough hook attachment (or place dough onto a lightly floured surface and knead for 4 minutes), mix on low for 4 minutes or until the dough is smooth and elastic.
Divide dough into 6 equal size pieces. Roll each ball into a long rope, about 18-22 inches in length. I like to wet my hands a bit for this if my dough isn’t tacky. It helps! Take the ends of the “rope” and bring together to form a circle. Twist the ends together once and bring down to the bottom of the circle. Press ends into the dough so that they will stick. Place onto prepared baking sheets.
Using a pastry brush, coat each pretzel with egg wash. Place baking sheet into oven and bake for 12-15 minutes, turning half way through for even baking. Remove from oven and allow to cool on pan for 2-3 minutes before sprinkling cinnamon sugar over top.
To make frosting/glaze, combine all ingredients in a small bowl and whisk until combined. Add more milk to reach the desired consistency. Drizzle over top with a spoon or a pastry bag fitted with a small circular tip.
Note: For a healthier alternative, try substituting 1 c. of all-purpose flour for whole wheat flour.