Shahi paneer is a preparation of paneer in a thick gravy made up of cream, tomatoes and spices.It is mainly eaten with roti, naan, rice, other breads.Paneer is the Punjabi word for cottage cheese, and shahi is the Indo-Persian term for royal (in reference to the Imperial Court).Similar dishes include paneer butter masala and kadai paneer.aneer is the Punjabi word for cottage cheese, and shahi is the Indo-Persian term for royal (in reference to the Imperial Court). Similar dishes include paneer butter masala and kadai paneer.