While he was famous for his love of Cuban culture and music, and his portrayal of Ricky Ricardo on "I Love Lucy" brought Cuban food into the American spotlight, there is no specific dish or food that is definitively known to be his favorite.
It's possible that he enjoyed many different types of food, and his preferences may have varied over time. Unfortunately, without specific accounts or interviews, it's difficult to say with certainty what Desi Arnaz's favorite food was.