Is there a way to create sub status's on requests

We are looking to make sub category status's on requests. If we have a status of cancelled, then we would like to have a sub category or a reason it was cancelled. Doing this we can run reports off that. RIght now we are adding a update on the request of why it was cancelled but that makes it hard to run reports off of. If we move a request to cancelled, would like to have a sub category or reason of like "No longer priority". Thougts on how to accomplish this.