The Volnar colony was a colony existing as of 2371.
According to Tom Paris, there was a shop at the Volnar colony that sold a dozen Lobi crystals of assorted shapes for one lek. (VOY: "Caretaker")
Background information
Taking into account that Paris numbered the price in lek and not in latinum or Federation credits, it can likely be assumed that the colony was Cardassian.
According to the Star Trek: Star Charts (p. 46) and the Stellar Cartography: The Starfleet Reference Library ("Federation Historical Highlights, 2161-2385"), the Volnar colony was affiliated with Bajor and was located in the Volnar system. The system's primary was a G-class star. It was located in the Alpha Quadrant.
According to the Star Trek Encyclopedia (3rd ed., p. 548), the Volnar colony was a settlement in the Bajor sector.
According to StarTrek.com, the Volnar colony was located near the Deep Space 9-Bajoran area.