I had previously posted a solution, but it was based on an unreleased feature-in-progress for a future release. I do not believe the levels can be customized in JMP 15 or earlier. Sorry for the confusion.
Since I have to retract the original suggestion, perhaps a workaround would be useful. I would suggest creating a formula column to create the desired overlay categories. For example:
![Untitled.png Untitled.png](https://community.jmp.com/t5/image/serverpage/image-id/20373i517AAA74C0DED458/image-size/medium?v=v2&px=400)