Deep-fried anything.

 As a Glaswegian, I have never seen a deep-fried mars bar. Honest. Friends from outside Scotland find this hard to believe, as it's one of the things we're famous for. It does sound like I'm lying to protect the reputation of the city (and, by extension, my own), but I'm really not. However our chip-shops do deep-fry pizzas, which they do put on the menu, so it's hard to believe that it's an urban myth.

It looks like something that normally lives fifteen fathoms down.

 According to a 2004 study by the NHS, 22% of Scottish takeaways did them. I've been in many takeaways, usually drunk, and I've never seen it on the menu anywhere. According to some fairly solid classroom rumour when I was at uni, you have to "ask" for it and provide your own Mars bar (it's like everyone involved knows, deep down, that it's not something to advertise), or any sweets that you bring with you. For example, at Easter they will apparently deep fry a cadburys cream egg.
 And that's the limit of my knowledge; a deep-fried Mars bar is one of those things I could never bring myself to ask for. In terms of health, it can't be as bad as deep-fried pizza or the bio-hazard they call British takeaway kebabs, but it's like Buckfast wine (a brand of caffeinated fortified wine). There's so many negative connotations that it would feel wrong to publicly purchase.
 Although deep-fried mars bars have yet to be linked to street violence, they symbolise our historically bad health record, and they are historical. When a foodstuff gets linked with a place, and it becomes famous, even when the foodstuff disappears from widespread use it can stay associated with that place. Whilst I'm not saying that Burns suppers a century from now will have the ceremonial deep-fried confectionary dish, I do think that they will be associated with Glasgow for at least a few decades more (the first one was reportedly sold in 1995 in Stonehaven, Aberdeen, but it almost certainly dates earlier). Like Chicken Tikka Massala, for better or worse, it's now forever a classic Glasgow dish.