I suspect the problem was with the underscore, because Release pending works.

https://pagure.io/copr/copr/issues?status=Open&close_status=Release+pending works for me
https://pagure.io/copr/copr/issues?status=Closed&close_status=release_pending
fails with No status of that name.

This looks fine to me.

Note that in the drop-down to filter the issues, the close_status is Release pending not release_pending.

I changed that in the meantime. The release_pending version really did not work.

https://pagure.io/fork/praiskup/copr/copr/issues?status=Open&close_status=release_pending
vs
https://pagure.io/fork/praiskup/copr/copr/issue/4