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Haskell, 79 bytes

import Data.List
g 0=[""]
g n=nub[k|l<-g(n-1),k<-["()"++l,"("++l++")",l++"()"]]

This is just a very simple recursive approach, we can generate the n-Dyck-words by putting (n-1)-Dyck-words after, in between or before a pair of opening and closing parenthesis. This approach however does generate duplicates, that is why we filter for unique elements using nub.