Yes, you can set the status of the WooCommerce order to processing.
Are you happy editing a file? Or we can edit the file for you.
The file you need to edit is: gateway-mpgs.php
Go to line: 575 and change this to 'processing' we have set it to completed.
$order->update_status( 'processing' );
Please reference the screenshot for guidance.
There is also a free plugin which can do this for you.
This is not our plugin.
The plugin can be found here: https://wordpress.org/plugins/custom-order-statuses-woocommerce/