It is probably fried phyllo dough with a honey/butter glaze. You will need to buy a package of phyllo dough. Take a sheet of dough and spread it on a cookie sheet (cover the rest with a damp towel or wrap in saran while you work). Brush the dough with melted butter and add another sheet, brush with butter and repeat until you have about 8 - 10 layers. Cut the phyllo layers into squares and drop into hot oil. Turn when it is lightly brown and drain on paper towels when finished. Sprinkle with cinnamon and drizzle with warm honey.
Baklava is very different. It is filled with a walnut filling and doesn't sound like what you describe.