Place a sheet of parchment paper over a cookie sheet. Place 40 pretzels on top of the cookie sheet. Cover each pretzel with a Rolo candy.
Preheat the oven to 250° F. Place cookie sheet in the oven for 3 minutes to soften Rolos. Remove from the oven and cover each Rolo with another pretzel, like a sandwich. Place in the fridge to cool completely.
Heat some of the white candy melts in a microwave safe bowl, according to package directions, until melted. Dip a pretzel bite halfway into the bowl, place on the parchment paper, and top with sprinkles. Do this for 20 of the pretzel bites, or however many you want to be white. Heat green candy melts and repeat the dunking and sprinkle process with remaining pretzel bites. Cool completely and serve.