Hi,
To translate the order status name, it's indeed in the language file that you have to do the modifications.
You should find the following entries:
CREATED="created"
PENDING="pending"
CONFIRMED="confirmed"
CANCELLED="cancelled"
REFUNDED="refunded"
SHIPPED="shipped"
ORDER_STATUS_CREATED="created"
ORDER_STATUS_PENDING="pending"
ORDER_STATUS_CONFIRMED="confirmed"
ORDER_STATUS_CANCELLED="cancelled"
ORDER_STATUS_REFUNDED="refunded"
ORDER_STATUS_SHIPPED="shipped"
These are to translate.
If you already done that, please enable the Joomla Debug language in the Joomla global configuration.
It will give more informations about translation issues.