I doubt whether oracle allow you to give alias with decode.
can't you use status in your where condition??
however if you want to achieve alias like functionality then try this

select order_id,
decode(status, 'Held', '1 - Held', 'Shipped', '2 - Shipped)
from order_header
where decode(status, 'Held', '1 - Held', 'Shipped', '2 - Shipped)= '1 - Held'