Place four 10-ounce glasses in the freezer and line a baking sheet with wax paper. Make the pretzels: Put the chocolate in a microwave-safe bowl; microwave, stirring every 30 seconds, until melted. Let cool until thick but still pourable, then pour into a short, narrow glass and mix in the vegetable oil. Dip the pretzel rods in the chocolate, tilting the glass and twirling the rods to coat. Transfer to the baking sheet and sprinkle with cayenne. Refrigerate until set, at least 20 minutes.
Make the caramel sauce: Melt the butter with the brown sugar in a small saucepan over medium-high heat and cook, whisking, until the sugar melts. Add the half-and-half and vanilla and bring to a boil; cook until thickened, about 3 minutes. Season with kosher salt and let cool.
Make the milkshakes: Combine the ice cream, 1/2 cup bourbon, the vanilla and a sprinkle of Maldon salt in a blender. Blend until smooth, adding up to ½ cup more bourbon if desired.
Pour into the chilled glasses. Drizzle with the caramel sauce, sprinkle with more Maldon salt and garnish with the pretzel rods.