How to add Class in <li> using wp_nav_menu() in Wordpress?

You can add a filter for the nav_menu_css_class action in your functions.php file.

Example:

function atg_menu_classes($classes, $item, $args) {
  if($args->theme_location == 'secondary') {
    $classes[] = 'list-inline-item';
  }
  return $classes;
}
add_filter('nav_menu_css_class', 'atg_menu_classes', 1, 3);

Docs: https://developer.wordpress.org/reference/hooks/nav_menu_css_class/

No need to create custom walker. Just use additional argument and set filter for nav_menu_css_class.

For example:

$args = array(
    'container'     => '',
    'theme_location'=> 'your-theme-loc',
    'depth'         => 1,
    'fallback_cb'   => false,
    'add_li_class'  => 'your-class-name1 your-class-name-2'
    );
wp_nav_menu($args);

Notice the new 'add_li_class' argument.

And set the filter on functions.php

function add_additional_class_on_li($classes, $item, $args) {
    if(isset($args->add_li_class)) {
        $classes[] = $args->add_li_class;
    }
    return $classes;
}
add_filter('nav_menu_css_class', 'add_additional_class_on_li', 1, 3);