If you've been in New Orleans for carnival season, or if you're lucky enough to taste a cake that has arrived in the mail from there, there's a pretty good chance that yes, there is a plastic baby that comes with your cake.
The baby, meant to represent Jesus, has become a fixture of the king cake (galette des rois in France or rosca de reyes as it's called in Mexico). It's a frosted yeast dough cake that New Orleans bakeries churn out between King's Day, January 6th, and Fat Tuesday, the last day of indulgence before Lent.