Preheat oven to 350 degrees F (175 degrees C). Grease a baking sheet with cooking spray.
Mix 4 cups water and baking soda together in a large saucepan; bring to a boil. Pour into a shallow dish.
Flatten bread dough on a floured work surface; cut into 3 pieces, each about 6 inches long. Slice each piece into 4 long strips. Break a 1-inch piece off each strip; roll into a ball for the tail. Roll the remainder of each strip into a log about 9 inches long.
Wrap 1 log around the tail to make the body; twist twice to make the head and ears. Repeat with remaining 11 strips.
Submerge "bunnies," 2 at a time, into the water-baking soda mixture for 30 seconds. Transfer to the prepared baking sheet. Adjust ears if they became untwisted.
Whisk egg yolk and 1 tablespoon water together in a small bowl. Brush over bunnies. Sprinkle salt on top.
Bake in the preheated oven until warmed through, about 5 minutes. Move around with a spatula to ensure they don't stick. Continue baking until golden brown, about 10 minutes. Transfer to cooling racks. Brush with melted butter while still warm.