Right now I believe scouts are categorized with their military unit. The standard, if memory serves, is to create categories for regimental units and above. There are a few exceptions. I did find a scout unit, but it is for a later time period - the Indian Wars:
Category: Detachment Seminole Negro Indian Scouts
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Categories: Texas-Indian Wars | Seminole | Buffalo Soldiers
In general, categories should not be created to house only a handful of profiles. While Bill Cody, and his role as a scout, is certainly deserving of note, I don't think there will be a great call for the category and he may find himself the only profile to come to that party.
However, that is just my spur-of-the-moment opinion. You can request the category be created by filling out this form:
