How would you make it so a Campaign mode could be a selectable mode from the Selection screen?

I think all the shell mods have this feature. Install one of them.

How could I make my own shell like that?

Edit the shell's source scripts to add support for the mode. Theres a bunch of different ways to do it. I can't really explain it in a post. However, as its a shell mod, it not something you can simple ship with your map.