Magento – Order Status not changed in the sales order grid Magento 2

Magento has a default authorize which sets the state as processing.

You will have to edit/override the below file: code/core/Mage/Sales/Model/Order/Payment.php

protected function _authorize($isOnline, $amount)
{
    // update totals
    $amount = $this->_formatAmount($amount, true);
    $this->setBaseAmountAuthorized($amount);

    // do authorization
    $order  = $this->getOrder();
    $state  = Mage_Sales_Model_Order::STATE_PROCESSING;
    $status = true;

Change the state to new or whatever you want to set when authorizing any payment from payment gateway.

When you save data from your order model, i think magento will do some kind of validation for your order state and status, to come up with your trouble run this function after you save the order:

    public function updateOrderRaw($orderId){
      $objectManager = \Magento\Framework\App\ObjectManager::getInstance();
      $resource = $objectManager->get('Magento\Framework\App\ResourceConnection');
      $connection = $resource->getConnection();
      $tableName = $resource->getTableName('sales_order');
      $sql = "UPDATE " . $tableName . " SET status = 'delivery', state = 'processing' WHERE entity_id = " . $orderId;
      $connection->query($sql);
    }

the above function will run sql query to update the order status and state from sales_order table