Documentation for JIRA 4.1. Documentation for other versions of JIRA is available too.
The status that the issue is created on is defined by the 'Create Issue' transition, which is the transition that is used when an issue is created.
To modify the status the issue is created:
You will be shown a screen where you can select the destination step of the 'Create Issue' transition, and therefore, the state in which the issue is created.