1ORF is Olympus's in-camera RAW
ORF is the raw sensor data a Olympus camera writes at the moment of capture. It's produced by the camera's own hardware and firmware — software can read it, but nothing can manufacture a genuine ORF from a finished JPEG.
2A JPEG has already been processed
Your JPEG is a developed, final image. The extra sensor information a ORF carries — wider dynamic range, full color depth, untouched highlights — was discarded when the photo was first saved, and can't be put back.
3It is locked to one camera maker
ORF is proprietary to Olympus. Even other RAW formats (NEF, ARW, RAF…) aren't interchangeable with it — there is no universal "save as RAW" that produces a real ORF.