How to insert class in each list of categories?

Why don’t you use get_categories instead. Here is an example:

$categories = get_categories();
$output="";
if($categories) {
    $output = "<ul class="list-inline">";
    foreach($categories as $category) {
        $output .= '<li class="list-inline-item"><a href="'.get_category_link( $category->term_id) . '">'.$category->cat_name.'</a></li>';
    }
    $output .= "</ul>";
}
echo $output;

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