WebServiceMock route. I've taken a look at this and while it does appear that while WebServiceMock allows you to emulate nicely the responses using the generated Apex classes for your third party service (very cool actually). It does appear in doing so to abstract away the ability to mimic some of the low level HTTP aspects of the response (unlike HttpCalloutMock i reference below).
Though I cannot help feeling the 'response' parameter map in which you place the 'response_x' key value. May support other entires, unfortunately I cannot find any other documentation on what they might be. Such as 'response_status' would be nice!
response: A collection of key/value pairs representing the response to send for the request.
Trying via HttpCalloutMock route. Sadly the presence of a HttpCalloutMock interface implementation does not satisfy (what are still effectively HTTP callouts) web service callouts made via the generated Apex classes. So while I was able to setup one of these to return status 400, I still got the 'Methods defined as TestMethod do not support Web service callouts, test skipped' error when running my test.
Conclusion: Sorry but it looks like this may not be possible to mock this when your using the WSDL2Apex web service call out style. Unless you want to move to making raw HTTP callouts (handling the XML creation and parsing yourself). Or unless someone from Salesforce dev might want to venture forth what additional values can be placed in the 'response' map when implementing WebServiceMock?