Create a “Reject” action for comments?

It’s currently not that easy to create new comment statuses in WordPress.

Comments in WordPress have a field comment_approved which can have a value of 1, 0, spam or trash. In your case I’d probably leverage the existing trash functionality and store the rejection reason as comment meta.

That’s similar to how anti-spam plugins like Antispam Bee store the spam reason as comment meta and display it separately in the admin.