Pallando was a member of the Istari who were sent to Middle-Earth from Valinor in the Third Age. His name perhaps meant ‘far wanderer’.
“In the likeness of Men they appeared, old but vigorous, and they changed little with the years, and aged but slowly, though great cares lay on them; great wisdom they had, and many powers of mind and hand. … [Pallando was one of the] others of the Istari who went into the east into Middle-earth, and do not come into these tales.”
In the council of the Valar where it was resolved to send emissaries to Middle-earth (mentioned in Unfinished Tales), Pallando was chosen by Oromë, and so it may be possible to suggest that Pallando was a Maia associated with Oromë.
“Pallando … [is] associated with Oromë, though no hint is given of the reason for this relationship. It might be (though this is the merest guess) that Oromë of all the Valar had the greatest knowledge of the furthest parts of Middle-earth, and that the Blue Wizards were destined to journey in those regions and to remain there.” (Unfinished Tales)
However, later revisions show Pallando being associated with Mandos and Nienna.
A connection between Alatar and Pallando is also suggested, with a note in Unfinished Tales saying that Alatar took Pallando to Middle-earth as a friend. They were later known to Middle-earth as the Blue Wizards, the Ithryn Luin, because of the sea-blue clothing they wore.
It seems that, when the Istari entered Middle-earth, Pallando and Alatar went east with Saruman, but remained there when Saruman returned to Gondor. What happened to them there is unknown, though in a letter from 1958, Tolkien wrote:
“I think they went as emissaries to distant regions, East and South, far out of Númenórean range: missionaries to enemy-occupied lands, as it were. What success they had I do not know; but I fear that they failed, as Saruman did, though doubtless in different ways; and I suspect they were founders or beginners of secret cults and ‘magic’ traditions that outlasted the fall of Sauron.”