An act (frequently sexual in nature) that isn't illegal but is so embarrassing that one will go to great lengths (even lying to the police) to keep it a secret. The term originated on the TV series "Better Call Saul" in reference to a specific sexual act, but may be used to describe any action that's considered embarrassing.
Detective 1: So, fully clothed Mr. Wormald by himself doing what?
Detective 2: Yeah, come on, man. What?
Jimmy McGill: sighs
Detective 1: What's a s-squat cobbler?
Jimmy McGill: Squat cobbler. You know what squat cobbler is.
Detective 1: No, I don't... I don't know what a squat cobbler is.
Detective 2: No, me neither. What is it?
Jimmy McGill: What? And you two guys are cops? Hoboken Squat Cobbler. Full Moon Moon Pie. Boston Crème Splat. Seriously? Simple Simon the Ass Man. Dutch Apple Ass. Guys, am I not speaking English here?
Detective 1: What the hell is a squat cobbler?!
Jimmy McGill: It's when a man sits in pie! He sits in a pie! And he... he wiggles around. Maybe it's like Hellman's Mayonnaise. It has a different name west of the Rockies. I don't know. But, uh, technically, he does a crybaby squat, so there's tears, which makes it more specialized. Not all pie sitters cry. But I'm gonna tell you something: This guy? He's a regular Julianne Moore once he gets the waterworks cranked up.
Detective 2: Pies? What? Like apple?
Jimmy McGill: Guys, I'm not the filmmaker here, all right? Banana cream. I... uh, peach. Oh, and there... And there is a costume involved.
Detective 1: (snorts) You've got to be shittin' us.
Jimmy McGill: Yeah, like I would make this up. Hey, the world is a rich tapestry, my friends. But trust me on this. You don't want to see it.