Magento Admin – How to Create a New Order State for Order Status

No, adding the custom status to "complete" was the right thing to do, you should not try to change the internal meaning of the states.

Changing the status within the current state is easy. You can select it on the order page, in the "Comment" form. You can leave the "comment" field empty and just change the status:

If you are creating extension then you can use below script into your InstallData.php or UpgradeData.php

 $states = [
        'test' => [
            'label' => __('test'),
            'statuses' => ['test' => ['default' => '1']],
            'visible_on_front' => true,
        ],
    ];

    foreach ($states as $code => $info) {
        if (isset($info['statuses'])) {
            foreach ($info['statuses'] as $status => $statusInfo) {
                $data[] = [
                    'status' => $status,
                    'state' => $code,
                    'is_default' => is_array($statusInfo) && isset($statusInfo['default']) ? 1 : 0,
                ];
            }
        }
    }
    $setup->getConnection()->insertArray(
        $setup->getTable('sales_order_status_state'),
        ['status', 'state', 'is_default'],
        $data
    );

Just replace test with your order state code and 'statuses' => ['test' => ['default' => '1']], replace with your order status.

You can find same script in below path,

app\code\Magento\Sales\Setup\InstallData.php