How can I create my own error messages for WordPress' login form?

I am making a plugin that aims to improve the security of wordpress sites by limiting the amount of incorrect login attempts a user makes.

else if ($row[2] > $maxtries && $curdate < $row[4]){

            echo '<p>You have been blocked due to continued incorrect login attempts.</p>';
            echo $password;

            $denied_message = "SORRY MATE YA BLOCKED";
            WP_Error( 'denied_access',$denied_message);

        }

At the moment I am just getting a white screen (produced by the WP_Error) with my blocked echo, I would want the login form to display my own error message, the same way it is already done on the wordpress login form. Many thanks.

enter image description here

This is the code I use. Replace 1 == 1 with your conditions!

add_filter( 'authenticate', 'my_validate_login_form', 10, 3 );

function my_validate_login_form( $user, $username, $password ) {

    /**
     * If the username or password are not sent we do nothing (and return $user)
     * This way we avoid errors to be shown before the user clicks the button to log in
     */
    if ( ! isset( $username ) || '' == $username || ! isset( $password ) || '' == $password ) {
        return $user;
    }

    // Check if the conditions are true and show an error and cancel further processing if they are
    if ( 1 == 1 ) {
        remove_action( 'authenticate', 'wp_authenticate_username_password', 20 );
        remove_action( 'authenticate', 'wp_authenticate_email_password', 20 );
        $user = new WP_Error( 'denied', '<strong>ERROR</strong>: My awesome error here.' );
        return $user;
    }

    // Return $user to allow wordpress to check password and username
    return $user;

}