You two need to get your mind out of the gutter, the M&M clearly EATS the pretzel to get the pretzel inside it. Your dirty minds falling prey to the advertising executives, that's what they want you to think. Although, why they'd want you to think about chocolate candy and pretzels doing the dance with no pants is beyond me.
There is a companion video (or whatever, tie-in video?) of the pretzel doing stand up comedy from inside the M&M's stomach and its the lamest jokes you've ever heard in your life. So bad that I can't even be bothered to re-find the link and post it. If you're interested its on youtube.