First things first: “modes” in SmartThings are completely different from the SHM armed states. This does create a lot of confusion, but it’s important to understand the difference. See the following FAQ (this is a clickable link)
Once you’ve read that, we can get to talking about your specific request. 
The short answer will be that you can indeed create a new mode (not an SHM armed state) and then use that with custom alerts in SHM. Whether that will meet all your requirements just depends on the specific details.
But again, start by reading the FAQ and then we can drill down into what options will work best for you.