The function is going to add this new custom order status to Orders reports.

woocommerce_reports_order_statuses.php

<?php
add_filter('woocommerce_reports_order_statuses', 'include_custom_order_status_to_reports', 20, 1);
function include_custom_order_status_to_reports($statuses)
{    
    // Replace 'my-custom-status' with your custom order status slug
    if ($statuses)
        $statuses[] = 'my-custom-status';
    return $statuses;
}