Pandas fillna throws ValueError: fill value must be in categories

Use Series.cat.add_categories for add categories first:

AM_train['product_category_2'] = AM_train['product_category_2'].cat.add_categories('Unknown')
AM_train['product_category_2'].fillna('Unknown', inplace =True) 

AM_train['city_development_index'] = AM_train['city_development_index'].cat.add_categories('Missing')
AM_train['city_development_index'].fillna('Missing', inplace =True)

Sample:

AM_train = pd.DataFrame({'product_category_2': pd.Categorical(['a','b',np.nan])})
AM_train['product_category_2'] = AM_train['product_category_2'].cat.add_categories('Unknown')
AM_train['product_category_2'].fillna('Unknown', inplace =True) 

print (AM_train)
  product_category_2
0                  a
1                  b
2            Unknown