The Twinkie is the snack food Tallahassee is trying to get in the movie. Tallahasee finds some twinkies near the end of the movie but they had a bullet in it after Columbus shot the door thinking there was a zombie in it but it turned out to be a rat. Tallahassee finally gets his twinkie at the end of the movie when Wichita and Little Rock were about to drive away and Little Rock throws him a twinkie.
Side note: Colombus said that Tallahassee looks like Yosemite Sam, especially because of his banjo and hat.