I think you'll need to do && for the two operations e.g.

if (2 < substr($1, 6, 3) && substr($1, 6, 3) < 11)

I'm also not certain its going to handle the 011 and 001 values correctly

I'd be tempted to just hammer it like:

ls -1| awk '{ if (substr($1, 6, 3) == "001" || substr($1, 6, 3) == "002" || substr($1, 6, 3) == "003" || ...) print $1 }'

Someone must know a good way to do this.