No, bronze colossi cannot reproduce because they do not have male/female castes or a CHILD:X tag. They also don't make good pets and are not a playable race. We must train dorfs, not statues.
So, I have found that it is perfectly possible to train some fraction of children via regular danger rooms, as opposed to animal-based hazards; I would suggest burrowing children in a sealed area with their parents and provide some sort of wooden-stick-resistant cloth or leather which their parents will use to produce clothing. The children and adults will both inevitably end up wearing this clothing. Give the children their own separate bedrooms (assigned to them) which they may enter when tired. The doorway in is a long path which takes them through a hallway full of repeating spikes. As they walk through this hallway they are jabbed constantly and train their defensive skills. When they are legendary dodgers, all you need do is toss them in with an unarmed goblin or some low-threat but aggressive and possibly hard-to-kill wild animal (maybe a crundle) and let them out when they succeed in killing their opponent. Despite the poke-resistant clothing, they will probably break something at some point, so setting the area up with a hospital run by their parents may be wise.
Make sure the area is filled with wonderful furniture, and then execute some family members or pets every once in a while and make sure they find out about it: they will eventually become completely resistant to tragedy, and pointy wooden sticks, and capable of beating animals into submission with their bare hands. Additionally, since there are inevitably failures to wear the correct clothing, and failures of the clothing to protect their brains, some of them will die on spikes, which will hasten the development of their resistance to tragedy.