Considering that the Bajoran religion is centred around the ‘Prophets’, the wormhole aliens, it is clear that the wormhole is always near Bajor. This means that the wormhole itself is either orbiting Bajor itself, or is in an orbit around Bajor’s sun, moving parallel to Bajor. So, the station is either in orbit around Bajor, or around the sun parallel to Bajor. However, an orbit’s altitude is dependent on speed, so it might be very difficult to create a solar orbit that has an equal period to Bajor itself (astrophysicists may interject here), making a high orbit around Bajor (both for the station and the wormhole) the most likely scenario. The wormhole itself does not seem to exert any gravitational effects on vessels entering and exiting it, so it should not affect the orbit of the station. (which, being an artificial construct, is acceptable)