Is it possible to set stand-by database to active, do changes and then continue restore chain? Basically, I'm using a custom log shipping method on a sql 2012, where the transaction files are manually copied to an offsite location. The files are then restored using something similar:

RESTORE LOG xyz
    FROM MyAdvWorks_log2
    WITH STANDBY = 'c:\undo.bak'


I would really like to be able to set that stand-by database briefly to Active, do various stuff (not just read) and then rollback/discard those changes and allow the restore to continue.

Is that even possible?
If not, can I copy the stand-by server and set it to active (and then when I'm done, delete it)?
(since this is longer than a comment .. so posting this as an answer)

In sql server enterprise edition, you can leverage database snapshots.

If I understand your question, you want to do some changes on a standy (not live) copy of your database and then discard those ?

If that is true, then you can create a database snapshot of your main database using :

CREATE DATABASE snapshotDBName... AS SNAPSHOT OF yourPRODDBNAME


Then do the modifications - Inserts / Updates / Deletes using regular TSQL and once you are done with your modifications, you can drop the snapshot using 

DROP DATABASE snapshotDBName


You can read more on SQL Server Database Snapshots

Note: If this is not what you want, then I will delete this answer .. which I wrote assuming stuff.