it's not a menu item..
http://en.wikipedia.org/wiki/Hedgehog_Pie
http://www.last.fm/music/Hedgehog+Pie
http://www.mudcat.org/thread.cfm?threadid=21994

and these folks who are caterers.
http://www.hedgehogpie.com/who_are_we.html

how to cook a hedgehog, Gypsy style:
Wrapped in clay in the center of a fire.
When you pulled off the clay the spines came with it.