Orient sacked Ian Hendon earlier in the week.
Leyton Orient are currently on a hunt for a new manager after sacking Ian Hendon from his role as head coach this week.
Hendon was let go after Orient suffered four straight defeats and with the club sitting 11th in the League Two table.
Now the club are looking at a potentially jaw dropping appointment, according to reports in Italy.
Pellegrino is a former manager at Catania and Padova in Italy and currently works as Catania's youth system chief co-ordinator.
The move would no doubt be divisive. The appointment of a foreign gaffer would certainly not go down well with many an Orient fan.
Fabio Liverani was the most recent Italian at the helm but he only guided the club to relegation to League Two.
Barry Hearn sold Leyton Orient to Italian businessman Francesco Becchetti in 2014 and the club have struggled to find their best form ever since.