Orlov is a Treasure Demon that you can find in Mementos, specifically in later areas like Adyeshach — and those later area Mementos will not be accessible until quite late in the game. Once you have access, just keep roaming the floors in the last few areas until one shows up. They appear as normal shadows on your map but look like gems. Ambush them as usual.
Defeating Orlov is rather difficult, as it has no weakness and takes very little damage. However, it will go down if you hit it with a critical strike. Once you meet the Tower Confidant, you will gain special ability that guarantees critical strikes. Use this special gun move to get a guaranteed take-down on Orlov. If you don’t have this skill, you can hope that you luck out or use specific skills like Miracle Punch that have a high chance to critically strike.