We perform a theoretical investigation of the polarization dynamics in a vertical-cavity surface-emitting laser (VCSEL) subject to orthogonal optical injection, i.e., the injected field has a linear polarization (LP) orthogonal to that of the free-running VCSEL. In agreement with previous experiments [Z. G. Pan et al., Appl. Phys. Lett. 63, 2999 (1993)], an increase of the injection strength may lead to a polarization switching accompanied by an injection locking. We find that this route to polarization switching is typically accompanied by a cascade of bifurcations to wave-mixing dynamics and time-periodic and possibly chaotic regimes. A detailed mapping of the polarization dynamics in the plane of the injection parameters (detuning, injection strength) unveils a large richness of dynamical scenarios. Of particular interest is the existence of another injection-locked solution for which the two LP modes both lock to the master laser frequency, i.e., an elliptically polarized injection-locked (EPIL) steady state. Modern continuation techniques allow us to unveil an unfolding mechanism of the EPIL solution as the detuning varies and also to link the existence of the EPIL solution to a resonance condition between the master laser frequency and the free-running frequency of the normally depressed LP mode in the slave laser. We furthermore report an additional case of bistability, in which the EPIL solution may coexist with the second injection-locked solution (the one being locked to the master polarization). This case of bistability is a result of the interaction between optical injection and the two-polarization-mode characteristics of VCSEL devices.