Wisest of the Maiar was Olórin. He too dwelt in Lórien, but his ways took him often to the house of Nienna, and of her he learned pity and patience.
Dwelt in Lorien above means that Olorin was a Maiar OF Irmo, the "Lord and Master of Dreams, Visions, and Desires, and Creator of the Oloré Mallé, or Path of Dreams," BUT he ALSO learned pity and patience from Nienna.
There is also this about Olorin, clearly resembling Irmo:
For though he loved the Elves, he walked among them unseen, or in form as one of them, and they did not know whence came the fair visions or the promptings of wisdom that he put into their hearts.
So, IF you accept that Nienna was a mentor to Olorin, as presented by Avner Shahar-Kashtan and Darth Satan then you have to accept that Irmo (Lorien) was also a mentor, only more so.
There is also some controversy as to whether Olorin was of the people of Manwe or Irmo. In any event he had contact with Irmo, was called his counselor and lived in Lorien.
So, mentors for Olorin would be Manwe/Varda (maybe), Irmo/Este, and Nienna. While Gandalf certainly continued to learn in Middle Earth, I don't consider anyone there to be a mentor: Galadriel, Cirdan and Elrond would have recognized what he was, and he was already considered the wisest of the Maiar before he left Aman.
While Olorin was Maia and came into being with considerable gifts the quote shows that he LEARNED patience and pity from Nienna, I take that to mean he was mentored.