Hello Melissa,
I don't think that there is a way to have an agent On Queue without their status being set as On Queue. You could make a secondary status under Training to be named "Shadowing" or something similar, but once they go on queue, it would switch to On Queue. I did see that there is an idea in the Product Ideas Lab for custom Primary Statuses. I would recommend voting and commenting on that idea to let our developers know that you would like to see this feature in the future.
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Jason Kleitz
Online Community Manager/Moderator
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