Linq select objects in list where exists IN (A,B,C)

Your status-codes are also a collection, so use Contains:

var allowedStatus = new[]{ "A", "B", "C" };
var filteredOrders = orders.Order.Where(o => allowedStatus.Contains(o.StatusCode));

or in query syntax:

var filteredOrders = from order in orders.Order
                     where allowedStatus.Contains(order.StatusCode)
                     select order;