"We label ourselves as a rejected company to show perseverance..."

I think it shows more of either: a) taking rejection too personally, or b) mean spirited demonstration that YC made a mistake by not funding you.

Either way, I don't think it's in any way "unethical"... just unwise. If you think YC made a mistake, and you want them to correct it, explain so in your application for the next round. If you've changed your mind, and don't want their support anymore, don't dwell on it and go on with your life.