Replace menu links with # and add name to its li

I want the URLs of the nav-items to be replaced with #

You can use the nav_menu_link_attributes hook to set the custom href value like so:

add_filter( 'nav_menu_link_attributes', function ( $atts, $item, $args ) {
    if ( 'menu-categorias' === $args->theme_location && 'category' === $item->object ) {
         $atts['href'] = '#' . get_term_field( 'slug', $item->object_id );
    }

    return $atts;
}, 10, 3 );

and to add the name of the category (in lowercase) to its li class

For that one, you can use the nav_menu_css_class hook whereby the “name” here is the term/category slug:

add_filter( 'nav_menu_css_class', function ( $classes, $item, $args ) {
    if ( 'menu-categorias' === $args->theme_location && 'category' === $item->object ) {
         $classes[] = get_term_field( 'slug', $item->object_id );
    }

    return $classes;
}, 10, 3 );

And note that, in my examples, I checked if the theme_location is menu-categorias, and I also assumed your menu items are all categories (i.e. terms in the category taxonomy).

Alternate Solution

Use a custom walker by extending the Walker_Nav_Menu class and edit the start_el() method which generates the li element output (<li><a></a></li>). See an example here.