A slimeball is a food from Melmac that comes in at least two flavors: wild cherry (with a surprise cherry in the center) and slug (which has an analagous surprise in the center).
The slimeball that ALF finds in his spaceship had a Melmacian Cockroach in its bag. He first thought that it was an Earth cockroach (as he said, "Well, I think someone's been slacking off on our housekeeping").
Since ALF can't go back to Melmac, the slimeball from the episode La Cucaracha was the last one ALF ate in his life.