While the orb doesn't appear to be a direct reference to anything in X-Men lore, it's possible that the post-credit tease is our introduction to a completely new threat and/or a familiar comic mutant.
The idea of a floating camera orb could point to the gladiator-like television shows of the "Mojoverse," a parallel realm dominated by Mojo, a spineless yellow blob, who has ties to Legion in the comics. Mojo is visually similar to Legion’s Amahl Farouk, but doesn’t haunt the astral plane or target psychics, which would make David an odd choice for a capture from Summerland. Surely there’s some combat-ready mutants better fit to kill in the name of inter-dimensional TV ratings.
There's still room for Legion to expand its current antagonist, thanks in no short part to Aubrey Plaza's powerhouse performance. The show didn't wholly address what the Shadow King wants or needs. By allowing David to explain the backstory of Professor X and the Shadow King’s battle, the motivations of both astral-fighting parties are left unknown. In "Chapter 7," we learn about the day David joined his adopted family after hearing the Shadow King (Yellow-Eyed Demon version) grumbling, “Where did you put it? What did you do with it?”
We know Amahl Farouk wants to take over David’s body and use his world-breaker powers to become God-like. What the the benevolent entity is searching for once he re-enters the physical plane remains a mystery. The vessel of David was so sapped by the Shadow King leeching off of him for his entire life that he was hospitalized, contained, and unable to find… whatever Professor X hid from him. Being inside the powerful brain of Oliver Bird at the end of the Season 1 is still a parasitic life for Farouk, so it'll be gunning for the mystery MacGuffin as quickly as possible.