Hero has a FK to Category, so you can select a category from Hero admin. If you want to also be able to create Category objects from Hero admin, you can change the form for Hero admin, and customise the save_model behaviour.:
class HeroForm(forms.ModelForm):
    category_name = forms.CharField()

    class Meta:
        model = Hero
        exclude = ["category"]


@admin.register(Hero)
class HeroAdmin(admin.ModelAdmin, ExportCsvMixin):
    form = HeroForm
    ....

    def save_model(self, request, obj, form, change):
        category_name = form.cleaned_data["category_name"]
        category, _ = Category.objects.get_or_create(name=category_name)
        obj.category = category
        super().save_model(request, obj, form, change)
With this change, your admin looks like below and has allows creating or updating category from the Hero admin.
_images/single_admin_multiple_model.png