Frostbite Island, as the name implies, is an area covered in snow and ice, which can send Shantae sliding down steep slopes if the player doesn't watch their footing. Further into the island, the cold weather gives way to the flying, mechanical Propeller Town.
There's one in the maze of vortex creatures in the south-east part of Propeller Town. Take the middle path, then press down, then left to get to the Squid.
There is one located in a small opening above you when you jump from chain to chain heading left before you reach Bolo, you will need the cannon to jump into the opening to enter a dark screen with the squid on the right.
There's another one in Propeller Town that's at the top of a tower two screens east of where Bolo is that you can only reach if you have the cannon.