Seems you could use a single SQL statement for that particular formulation. Something like this, using CTEs is possible, but alternately one can reformat them as subqueries. (note: not sure how the select of orders is intended to be used, so the below doesn't use it, but it does obtain it as an expression to be used)

    WITH
     o AS (
      SELECT FROM orders
      WHERE orders.id = $1
     ),
     os AS (
      SELECT FROM orderStatuses
      WHERE orderStatuses.orderId = $1
      ORDER BY DESC orderStatuses.createdAt
      LIMIT 1
     )
     INSERT INTO orderStatuses ...
     WHERE EXISTS (SELECT 1 FROM os WHERE os.code != $2)
     RETURNING ...something including the status differ check...

Does something like this work with postgres's default behavior?