Where is Heimskr's House?

Unfortunately it looks like that is it. If you are on the PC there is hope!

There is a bug involving a Thieves Guild quest you get when asking for extra work. If you have already participated in the quest Battle for Whiterun it becomes impossible to enter his house, this is due to the rubble situated in front of the door. This is problematic when given a quest to steal something from his house. On the PC this is fixable with the console using the setstage command. Another possibility is to type "coc WhiterunHeimskrsHouse" into the console, then you get teleported inside Heimskr's House. To get outside you can easily use the door of the house.

Another option is to download the Unofficial Skyrim Patch

To prevent and/or fix that bug, install the Unofficial Skyrim Patch (original / Legendary Edition - PC) / (Special Edition - PC) / (PS4) / (Xbox One). Its related fix (v1.1 - 2012-08-03):

Thieves Guild radiant jobs will no longer select Heimskr's house as a target due to it being destroyed during the Battle of Whiterun.