Copy and paste the following code in your child theme’s functions.php file.

add_filter( 'wpcfe_report_status', 'wpcfe_report_status_callback', 10, 1 );
function wpcfe_report_status_callback( $status ){
	$status_display = array(
		'Delivered',
		'Pending Payment',
		'Cancelled'
	);
	return $status_display;
}

Output