A coxinha is literally a type of fried snack, generally filled with chicken, that is common in cafes and bars across Brazil, but especially in São Paulo. It is deliciously unhealthy. It has also, however, become slang for a certain type of uptight conservative seen as being worried about security.
It’s difficult to know for sure how this type of person became associated with the snack, but some (both specialists and laymen) hypothesize that it comes from policemen’s association with the snack.
One well-known superimposition of these two meanings was when the PT mayor of São Paulo, Fernando Haddad, made a tongue-in-cheek complaint on Twitter that he had gone to a popular bar to eat a coxinha, but was instead criticized by one for his well-publicized bike-path project.