You can add a column to the admin grid by adding a file called view/adminhtml/ui_component/sales_order_grid.xml to your custom module with the following content:

<?xml version="1.0" encoding="UTF-8"?>
<listing xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
         xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Ui:etc/ui_configuration.xsd">
    <listingToolbar name="listing_top"/>
    <columns name="sales_order_columns">
        <column name="order_reference" class="Vendor\Example\Ui\Component\Listing\Column\Example">
            <argument name="data" xsi:type="array">
                <item name="config" xsi:type="array">
                    <item name="dataType" xsi:type="string">text</item>
                    <item name="visible" xsi:type="boolean">true</item>
                    <item name="label" xsi:type="string" translate="true">Example Column</item>
                </item>
            </argument>
        </column>
    </columns>
</listing>

Your Example.php-file should extend Magento\Ui\Component\Listing\Columns\Column and have a prepareDataSource()-method to populate the data:

/**
 * @param array $dataSource
 * @return array
 */
public function prepareDataSource(array $dataSource)
{
    if (isset($dataSource['data']['items'])) {
        foreach ($dataSource['data']['items'] as & $item) {
            $item[$this->getData('name')] = 'Something'
        }
    }

    return $dataSource;
}

Note that if you want to add sort- and filter-options you need to add some other adjustments, but that depends on what kind of data you want to show in the column.