Bajoran shrimp is shrimp from, you guessed it, Bajor.
This dish was among those ordered by Julian Bashir and Miles O'Brien when they thought Worf's wedding to Jadzia Dax was over. They had been on the road to Kal'Hyah, which consists of fasting and enduring physical tests for several days - the Klingon equivalent of a bachelor party - and were starving, but they never got to eat their meal because Sisko talked some sense into Jadzia. (DS9: "You Are Cordially Invited...")