Change order status string from "Completed" to "Shipped"
The best thing for you to do would be to alter the order status info array to give the "Completed" status a new title. The example in the documentation actually demonstrates specifically how to change the title of the completed status. Look for hook_commerce_order_status_info_alter() in commerce_order.api.php.

There are ways to override strings through the user interface, but this is such a small module change that I'd really recommend directly making it in a site-specific module.