Redwolf created a toolkit to make custom Investigators:
https://github.com/redwolf2/valkyrie_content_creation_kit_mom
However there are no built in features to add them natively. Its possible if you knwo the Valkyrie code, as are custom tiles and other content.
You can of course just pick an investigator then use your custom one, you're only looking out for their Name anyway.
I linked a scenario creation guide, if you're interested in writing your own scenarios. I am also happy to give advice or help were I can so feel free to PM me or reach out on discord.
https://docs.google.com/document/d/1Gi5gTwKkw84Px0Lvk-bJ3Aml_vF3ZoljjB6a8FjWGt8/