Place the milk and butter in a microwave safe bowl. Heat for 1 minute or until just warm.
Pour the milk mixture into a large bowl along with the brown sugar and yeast. Mix well.
Add in the salt and 3 cups of flour and mix well. Turn the dough onto a flour dusted surface and knead for 5-7 minutes, working in an addition 1/4 cup-1 cup of flour.
Spray a large bowl with cooking spray. Place the dough in the bowl and turn once, coating with oil. Cover with a dish towel and allow to rise for 1 1/2 hours or until doubled.
Preheat the oven to 400 degrees. Spray two baking sheets with cooking spray.
Turn the dough onto a cutting board and cut into 18 equal pieces. Gently press each piece flat.
Place a teaspoon of chorizo and a sprinkle of cheese in the middle of each dough. Pinch the edges together and pull into a ball shape.
In a large pot bring water and baking soda to a boil. Add the dough balls 5 at a time, boiling for 1 minute.
Remove from the pot and place on prepared baking sheets.
Carefully slice a small x shape on top of each roll, making sure not to cut to deep.
In a small bowl beat the egg along with 1 tablespoon of water. Brush the tops of each with the egg wash and sprinkle with sea salt.
Bake for 15-20 minutes or until the rolls are golden brown. Remove from oven and serve warm.