Baklava is a consumable item which can be eaten to increase the character's HP by 10 points.
Baklava can be found in several areas around the map; apartments, shops, pharmacies and grocery stores have them stocked. They're mainly seen within fridges in general stores along with other commodites such as coffee. Baklava is one of the most common consumable items within Dying Light and can invariably be found when scavenging.
Baklava is a sweet dessert which is mainly eaten in middle eastern countries. It contains layers of filo pastry which are glued together with syrup or honey. Nuts, raisins and sultanas are often added to further sweet baklava and change its consistency. This explains why the citizens of Harran would've eaten baklava as the story takes place in a fictional Turkey.