What happens if I try to use Volbeat's "Pheromone Catch" attack, but Illumise was KO'd during my opponent's previous turn?
Volbeat's Pheromone Catch is a game state check; it doesn't matter if Illumise is even in play anymore. As long as one of your Illumise used Pheromone Signals during your previous turn, you get the bonus when using Pheromone Catch.
Source: Celestial Storm FAQ (2018-07-20), TPCi Rules Team (2018-08-02)