This covenant is located in the Catacombs. From the first bonfire, go through the door and across the bridge. Before you go into the building with the necromancer, there is a ledge to your right. Drop down and land on the ledge below. Go through the door and you’ll find yourself in a long hallway with a Prowling Demon. Run past him and loot the corpse for the Eye’s of Death. Turn around and look for the coffin that sticks out more than the rest, you’ll be given a prompt to enter the coffin. Stay in the coffin for about 30 seconds to be transported into Nito’s room. Talk to him for the Covenant.
NOTE: If you already defeated Nito, you won’t be able to join until your next playthrough.