Orange incense is one of those specific items that appear at certain times in Pokémon Go. It is not an item you buy or have available in the store. Instead, it only appears during events in Pokémon Go, usually when a variety of unique Pokémon are drawn to that incense. Here's what you need to know when you see orange incense on your avatar and in your inventory.
The orange incense on your character indicates that a particular event is happening and only certain Pokémon are attracted to that incense. For example, for the Diá de Muertos 2021 event, several Pokémon are available to catch from November 1st to 2nd. Therefore, the Pokémon attracted to your incense are related to this event, and there is a particular group of Pokémon at your disposal while the incense is lit.
The normal green incense color means there is a more random possibility related to the Pokémon that you can lure to your location. An event may occur while green incense is available. However, the orange incense indicates all the Pokémon that appear because they are from the specific pool that Niantic tended for the event. For Diá de Muertos, you can find Cubone, Sunkern, Roselia, Sableye, Houndour and many more.