Definition - What does Lajja mean?
Lajja is one of the five niyamas. These are rules that show how a sadhaka (spiritual disciple) should live their life and deal with issues regarding their inner Self.
Lajja means "shame" when translated into English. The basic concept is that the sadhaka should be ashamed only of the bad things in life, but not of the good things.
Yogapedia explains Lajja
The idea behind lajja is to avoid the situation in which studies, yoga practice or other good habits come to an end because of some sort of misplaced shame.
A good example of this in yoga would be if one is ashamed that they struggle with a certain asana that another yogi can carry out with ease. Feeling shame in this case could stop the person from advancing in their yoga practice.