In order to create a custom run status, a direct access to SQL database is required.
Statuses are stored in RunStatus table.
The default list contains several predefined statuses. The value in column RunStatusId has to be unique. There is a special behavior for negative values. Statuses having negative identifiers are by default considered as finished, which affects which items are by default visible in the Runs view (by default, workflows considered as not closed are shown).