Make the Brownies
Preheat the oven to 325°F (165°C).
Spray a 9×13-inch glass baking dish with nonstick cooking spray.
In a large mixing bowl, whisk together the brownie mix and cayenne pepper.
Add the vegetable oil, beaten eggs, and water. Stir until just combined. Do not overmix.
Fold in the crushed pretzels.
Spread the batter evenly into the prepared baking dish.
Arrange the whole pretzels on top in a 4-by-5 grid pattern.
Bake for 55 minutes to 1 hour, or until the brownies are puffed and a toothpick inserted about 2 inches from the edge comes out with a few moist crumbs.
Remove from the oven and cool on a wire rack.
Make the Salted Caramel
In a small saucepan, combine the sugar and 2 tablespoons water over medium heat.
Cook without stirring until the sugar melts.
Continue cooking, occasionally swirling the pan, until the syrup turns a deep amber color, about 8 minutes.
Carefully whisk in the butter until melted.
Slowly whisk in the heavy cream.
Bring back to a brief simmer, then remove from the heat.
Whisk in the vanilla extract.
Transfer the caramel to a spouted measuring cup and let cool for 3–4 minutes until slightly thickened.
Assemble
Drizzle the caramel over the cooled brownies.
Sprinkle lightly with coarse salt.
Allow the brownies to cool completely before cutting into 20 squares.
Serve each brownie with a whole pretzel on top and optional whipped cream.