The colony was established in the Kotha Tremali system on the third planet. (The Dominion War Sourcebook: The Fires of Armageddon)
In 2371, Dr. Henrik Delaney and security forces from the USS Rutherford fled the Jem'Hadar ships attacking the Rutherford with the folded space drive prototype in a shuttlecraft. Not able to outrun the Jem'Hadar, Delaney and the accompanying security personnel landed in a cave on New Bajor. Once the Jem'Hadar cornered them, Delaney activated the folded space drive prototype for locations unknown.
The USS Prospect-A took an away team to New Bajor in 2372 in an attempt to track down Delaney, but they found nothing but evidence of Delaney's triggering of the device. (Star Trek: The Prospect Chronicles: "Directive"; Star Trek: The Cantabrian Expeditions: "An Innocent Time")