It would involve creating a custom form.

If this is for your personal use, it's not difficult to do in VBA code in the built-in ThisOutlookSession module:

Dim WithEvents colInsp As Outlook.Inspectors

Private Sub Application_Startup()
   Set colInsp = Application.Inspectors
End Sub

Private Sub colInsp_NewInspector(ByVal Inspector As Inspector)
   Dim objAppt As Outlook.AppointmentItem
   
   If Inspector.CurrentItem.Class = olAppointment Then
       Set objAppt = Inspector.CurrentItem
       With objAppt
           If .Size = 0 Then
               .Categories = "My Default Category"
           End If
       End With
   End If
End Sub

The one oddity is that when the appointment opens, you won't see "My Default Category" in the Categories box at lower right, but if you click the Categories box, it definitely will appear there. I don't know of a workaround for that problem, but again if this is for your personal use, you can get used to it.