You can pass a "sort order table" to the SortByColumns function, and that will determine how the items are sorted. For example, if you have a collection defined as
ClearCollect(
myItems,
{ Name: "Item 1", Status: "Returned" },
{ Name: "Item 2", Status: "Open" },
{ Name: "Item 3", Status: "Returned" },
{ Name: "Item 4", Status: "In Progress" },
{ Name: "Item 5", Status: "Fulfilled" },
{ Name: "Item 6", Status: "Open" },
{ Name: "Item 7", Status: "Returned" },
{ Name: "Item 8", Status: "In Progress" });
Then the following expression will sort the items according to your requirement:
SortByColumns(
myItems,
"Status",
["In Progress", "Returned", "Open", "Fulfilled"])
See the screenshot below for an example of a gallery with this expression:

Hope this helps!