It's called tomalley.
It's actually the lobster's liver, not its roe as in the case of shrimp. It's a delicacy favored by both chinese and non-chinese. If you search "tomalley", you'll find a lot of recipes.
Also as an warning, for lobsters from polluted water source, tomalley would contain high content of toxic pollutans.
Also as an warning, for lobsters from polluted water source, tomalley would contain high content of toxic pollutans.