If $X\subset \mathbb R^n$ is a compact and locally contractible, then $H_i(X,\mathbb Z)$ is torsion free for $i=n-1,n-2$.[This is consequence of Alexander Duality](see Hatcher corollary 3.46 for details)
Now if $X$ is non-orientable closed $k$ dimensional manifold then $H_{k-1}(X,\mathbb Z)$ has a $\mathbb Z_2$ torsion. Now as you asked in your question, if it is non-orientable, then it is contradicting the first statement. So any codim 1 closed sub manifold of $\mathbb R^n$ is orientable.
Also you can see that if you exclude the closedness condition, then it is not true. For example $Mobius$-strip can be embedded in $\mathbb R^3$.