From https://learn.microsoft.com/en-us/office365/customlearning/custom_plancontent#get-to-know-the-capabilities-of-microsoft-365-learning-pathways:
"Categories - are containers for subcategories. Categories are provided by Microsoft and cannot be created or modified."
It would seem the only way to create a custom category is to use the information in https://learn.microsoft.com/en-us/office365/customlearning/custom_partnerguide_contint to create your own custom content pack, which you can add in the learning pathways administration:
This would require hosting the content on a CDN to be properly supported.
Personally I am going to be using the "Get Started" category for custom content and just using the filter option in the web part to determine what is shown where.