I guess narratively there wasn't any episode left in which Bajor could have joined during the series. The finale had to be the end of the Dominion War and the defeat of the Ptah Wraiths and after that the story was over. And as detailed in the series itself, Bajor could not have joined before the war was over, since that would have made their planet a prime target and battleground.
The only way they could have had it on screen if they had made an 8th season as a sort of coda, with Kira as the new commander of DS9 with a new Kai introduced and all that. That would have been interesting, and it would have given us more Ezri, but it would probably also have been fairly anti-climatic and mostly concerned with wrapping up whatever sub-plots the other seasons left dangling.
Though the changed relationship with the Cardassian, and their empire being in shambles after the massacre the Founders inflicted on them could have been interesting to explore in that theoretical 8th season, maybe it could have even ended with not only Bajor being a full member of the Federation, but the Cardassian Union (or at least parts of it) applying for membership as well.