to get access to this covenant you need to find the petrified dragon egg in the dragon shrine(near the very end of the game). After climbing up some stairs partway through the level there will be a path to your left you can drop down to. Follow this path until an npc invades you, in the same room you will find the egg enshrined.
Now take the egg to to the merchant in the iron keep(1st bonfire, to the right when you enter the keep.)
Trophy unlocked!