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In this paper, we investigate signal detection in multiple-input-multiple-output (MIMO) communication systems with hardware impairments, such as power amplifier nonlinearity and in-phase/quadrature imbalance. To deal with the complex combined effects of hardware imperfections, neural network (NN) techniques, in particular deep neural networks (DNNs), have been studied to directly compensate for the impact of hardware impairments. However, it is difficult to train a DNN with limited pilot signals, hindering its practical applications. In this work, we investigate how to achieve efficient Bayesian signal detection in MIMO systems with hardware imperfections. Characterizing combined hardware imperfections often leads to complicated signal models, making Bayesian signal detection challenging. To address this issue, we first train an NN to "model" the MIMO system with hardware imperfections and then perform Bayesian inference based on the trained NN. Modelling the MIMO system with NN enables the design of NN architectures based on the signal flow of the MIMO system, minimizing the number of NN layers and parameters, which is crucial to achieving efficient training with limited pilot signals. We then represent the trained NN with a factor graph, and design an efficient message passing based Bayesian signal detector, leveraging the unitary approximate message passing (UAMP) algorithm. The implementation of a turbo receiver with the proposed Bayesian detector is also investigated. Extensive simulation results demonstrate that the proposed technique delivers remarkably better performance than state-of-the-art methods.