I've used Parchment with Lye, it works. sort of. any place the lye dip drips leaves a burned hole in the parchment. I've also used oil and corn meal, that works nicely, but the dip sort gets a bit thick at the bottom. The lye will also remove spots of coatings if you use coated or nonstick baking sheets. Old-fashioned, seasoned steel sheets should be best. I'd like to try it with wire screens like are sometimes used for Pizza....

I've used parchment with fine results. I also have used my silicone mat with no problems.  I must say I think the lye dip is the only way to get that real pretzel taste.  My daughter loves them and loves to make them (she doesn't do the lye dip)