You will want to define a prefetch path for your orders collection. This way you will retrieve all orders and all of the orders related customers. So something like this would work
EntityCollection orders = new EntityCollection(new OrderEntityFactory());
IPrefetchPath2 prefetchPath = new PrefetchPath2((int)EntityType.OrderEntity);
prefetchPath.Add(OrderEntity.PrefetchPathCustomer);
DataAccessAdapter adapter = new DataAccessAdapter();
adapter.FetchEntityCollection(orders, filter, prefetchPath);
Now each OrderEntity in the orders collection has their related CustomerEntity fetched to access the Customer.Name. So you could do
orders[0].Customer.Name;
This is explained a bit more in the PrefetchPath section of the manual.