$setup->getConnection()->addColumn(
    $setup->getTable('sales_order_grid'),
    'affiliate_information',
    [
        'type' => Table::TYPE_TEXT,
        'comment' => 'Affiliate Information'
    ]
);

<listing ...>
    <columns name="sales_order_columns">
        <column name="affiliate_information">
            <argument name="data" xsi:type="array">
                <item name="config" xsi:type="array">
                    <item name="filter" xsi:type="string">text</item>
                    <item name="label" xsi:type="string" translate="true">Affiliate Information</item>
                </item>
            </argument>
        </column>
    </columns>
</listing>

class UpgradeData implements UpgradeDataInterface
{
    /**
     * {@inheritdoc}
     */
    public function upgrade(ModuleDataSetupInterface $setup, ModuleContextInterface $context)
    {
        $setup->startSetup();

        if (version_compare($context->getVersion(), '1.0.1', '<')) {
            $connection = $setup->getConnection();
            $grid = $setup->getTable('sales_order_grid');
            $affiliate = $setup->getTable('affiliate');

            $connection->query(
                $connection->updateFromSelect(
                    $connection->select()
                        ->join(
                            $affiliate,
                            sprintf('%s.entity_id = %s.order_id', $grid, $affiliate),
                            'affiliate_information'
                        ),
                    $grid
                )
            );
        }

        $setup->endSetup();
    }
}