Create dynamic set conditionally excluding member if exists
IsError to the rescue!  Combined with an iif was able to solve it.  Thanks to this post for leading me right to it. 

iif (
        isError(
            ([Claim].[Claim Status].[All Claims].Children - [Claim].[Claim Status].[Pending])
            )
      , ([Claim].[Claim Status].Children)
      , ([Claim].[Claim Status].[All Claims].Children - [Claim].[Claim Status].[Pending])
)