To insert Salesforce Knowledge Article Data Categories Assignment using Apex, we have to make use of knowledge__DataCategorySelection object/entity.

Sample Apex Code:

knowledge__DataCategorySelection objDCS = new knowledge__DataCategorySelection(
    DataCategoryName = 'FAQ',
    DataCategoryGroupName = 'General',
    ParentId = 'ka04W00000171mjQAA'
);
insert objDCS;

ParentId: Id of the Salesforce Knowledge Article

DataCategoryGroupName: Data Category Group Name

DataCategoryName: Data Category Name