This covenant is found in the Cathedral of the Deep.
By working your way through this area, you'll eventually unlock shortcut doors on either side of the Cleansing Chapel bonfire. Take the door on the left and there will be a lift on the left side that takes you to a tower where an enemy was shooting you with a crossbow. Go around the outside of this tower and climb a ladder to the top level. From here, you can drop down to a slanted ledge below and work your way up to another roof and eventually inside the building and onto some rafters high above the large room with two giants. There is a spot on the other side that you can drop down to and if you follow the path, you'll be up on the side that you couldn't reach before. There will be a set of doors that you can open that leads to a bonfire and Rosaria, the NPC for this covenant.
Interact with her to "discover" the covenant.
Be warned: joining this covenant angers Sirris of the Sunless realms and ends her questline
Per Minihub in the comments:
Note: simply joining the covenant to get this achievement doesn't fail Sirris' questline, she only gets angered if you offer the covenant a Pale Tongue to increase your rank. From the Dark Souls III wiki: "as of regulation 1.05, simply changing your appearance or reallocating stats does not fail her questline."