In a large bowl, use an electric mixer to beat the softened cream cheese until it's completely smooth and creamy. Gradually add the powdered sugar and vanilla extract, mixing until everything is well combined and smooth.

Cover the bowl with plastic wrap and refrigerate for at least 1 hour, or until firm enough to handle.

Place the pretzels in a zip-top bag and crush them into small pieces using a rolling pin. Pour the crushed pretzels onto a shallow plate.

Scoop about a tablespoon of the chilled cheesecake mixture and roll it into a 1-inch ball. Roll the ball in the crushed pretzels until evenly coated and place it on a parchment-lined baking sheet. Repeat with the remaining mixture.

Refrigerate the coated balls for at least 30 minutes to set. Just before serving, drizzle with salted caramel sauce and sprinkle with coarse sea salt.