Perhaps I don't understand the problem, but if you define the following custom format:
##":"##":"##
it seems to do what you are asking for.
P.S. If I understand what you want to do, then you have to understand that you are NOT entering time values . . . you are entering simple integers that you want Excel to format to appear like time values. In fact the result you are asking for is still NOT a time format since there is no way to inidicate whether it is AM or PM. That's OK since you don't want to display the input with AM/PM info.