Hi @duncan_goodship
In magento for multiple order status you have to create it first there can be many types of status for your order but there are 8 types of order state as described in magento docs.In order to have multiple status to your order you must create it first and assign their state too then only you will be able to see status code in your order drop-down.
For creating order status yo can find it in System->Order Statuses.
For learning more about status and state you can go through following link:
https://docs.magento.com/m1/ce/user_guide/order-processing/order-status.html
