In this example, you want to enter the time of day in column A without needing to enter the colon character : yourself.   That is, you want to enter the time of 12:30 PM by entering the four digits 1230 and have the cell display 12:30 PM while regarding the entry as a bona fide time, not just as a custom-formatted four-digit number.

It is possible to avoid the colon entry by entering times as their decimalized number, but that means 12:30 PM gets entered as .520833333333333 which is not an option to do or to memorize all 1440 decimalized numbers of the 24-hour day.

To enter times in column A by keying in four digits without the colon, do this:

Right click on the worksheet tab, left click on View Code, and paste the following code into the large white area that is the worksheet module.   Press Alt+Q to return to the worksheet.

Private Sub Worksheet_Change(ByVal Target As Range)
If Target.Column <> 1 Then Exit Sub
If IsEmpty(Target) Or Selection.Cells.Count > 1 Then Exit Sub
Dim sTxt As String
sTxt = CStr(Target.Value)

Select Case Len(sTxt)
Case 3: sTxt = "0" & sTxt & "00"
Case 4: sTxt = sTxt & "00"
Case 5: sTxt = "0" & sTxt
End Select
sTxt = Left(sTxt, 2) & ":" & Mid(sTxt, 3, 2) & ":" & Right(sTxt, 2)

On Error GoTo ERRORHANDLER
Application.EnableEvents = False
Target.Value = TimeValue(sTxt)
Target.NumberFormat = "h:mm AM/PM"
Application.EnableEvents = True
Exit Sub
ERRORHANDLER:
Application.EnableEvents = False
With Target
.Value = 0
.NumberFormat = "h:mm AM/PM"
End With
Application.EnableEvents = True
End Sub

Be aware of 2 items:

(1)
This requires some familiarity with military times, meaning, to enter 2:45 PM the actual data entry would be 1425.   For the moring hours is no difference, and for the afternoon and night hours is a bit of getting used to but really quick when you just add 12 hours to the time, example, 1:00 PM is 1300 (1 + 12 = 13).

(2)
For times between midnight and 1:00 AM, enter the number with a preceding apostrophe character.