<?php
add_filter( 'wp_get_nav_menu_items', function ( $items, $menu, $args ) {

    $cats      = get_categories();
    $items_new = [];

    /**
     * @var WP_Term $cat
     */
    foreach ( $cats as $key => $cat ) {
        $post = new WP_Post( new stdClass() );

        $post->ID          = $key;
        $post->post_author = 1;
        $post->post_title  = $cat->name;
        $post->post_type   = 'nav_menu_item';

        $post->object_id = (string) $cat->term_id;
        $post->object    = $cat->taxonomy;
        $post->type      = 'taxonomy';
        $post->title     = $cat->name;
        $post->url       = get_category_link( $cat );

        $post->target      = '';
        $post->attr_title  = '';
        $post->description = '';
        $post->classes     = [ '' ];
        $post->xfn         = '';

        $items_new[] = $post;
    }

    return $items_new;
}, 10, 3 );