While I can't say I've searched *everywhere* yet (as I've only got 6/10 cherries), I can't seem to find the shotgun upgrade orb. I've got all five other orbs. I'm nearly at the end of the game (based on what my most recent quest goal is, anyways, I think I'm at the last level). I've gotten the clue from the sleeping bag guy in the basement of the Forest level's safehouse about brutal police. This made me think I should search the police station (didn't find anything there), the roof of the police station (cherry), the prison of the police station (I don't even remember what I found in there, but didn't find anything there this pass), the old prison in hell (didn't find anything there), and that about ran me out of ideas. The orbs seemed to be found in the rough order of the weapons, so I've assumed I should have found it before the Icicle Gun's orb.

Any hints on where I should focus my search?

The way to where the orb is is actually hidden. It's in the basement of the police station, and it's at a spot where you otherwise probably wouldn't look because it seems to have no use

Aha! Found it. I'd always wondered what the point of that room was. Thanks!