From Muppet Wiki

Federico Pelini is a temperamental director who appeared occasionally on Plaza Sésamo, beginning in the 2000 season. He often shouts at his actors and tends to produce ridiculous films. He's made from the orange Multimuppet.

His name and personality are a reference to the film director, Federico Fellini. His name is a cross between "Fellini" and "película", the Spanish word for "movie".