Zephyr Scale - Creating a Custom Field under Test Cycle

That list type is not available at this time. You could try to create a second field for free form text along with the drop down list. 

You can suggest ideas to our product roadmap here - 

Cloud -  https://zephyr-scale-cloud.ideas.aha.io/ 

Server - https://zephyr-scale-server-dc.ideas.aha.io/