Is it possible to call response()->setStatusCode() within hook_theme_suggestions_page_alter?
You don't need this code by the way, it is in core since D8.8.x, see https://www.drupal.org/node/2960810.
If you want to change the status code then do this in an event subscriber. If you want Drupal to build a normal 404 page and only change the status code of the already built error page then use a response event subscriber and set the status code:
$response-&gt;setStatusCode(200);

See this answer for the scaffolding https://drupal.stackexchange.com/a/201297/47547