"Shashlik" is pretty much skewered and grilled meat, what we would usually call shish-kabob, but Shashlik is what it's called all over Germany and Central Europe these days from what I assume is Turk influence. It's available at all sorts of food vendor stalls at fairs and markets. The "Caucasian" part no doubt refers to the Caucasus Mountains, which are on the NE boundary of what is now Turkey, and pretty much the home domain of Turkic peoples.
Tasty stuff!