Add your custom order status in bulk action dropdown

bulk_actions_edit_shop_order.php

<?php
add_filter( 'bulk_actions-edit-shop_order', 'add_bulk_actions_change_order_status' , 50, 1 );

function add_bulk_actions_change_order_status($bulk_actions){
	
	// Replace 'my-custom-status' with your custom order status slug
    	// Replace 'My Custom Status' with your custom order status name
	$bulk_actions['mark_my-custom-status'] = __( 'Change status to My Custom Status', 'woocommerce' );		
	return $bulk_actions;		
}