To use SpamHero to filter incoming mail for MailGun, you will need to use MailGun's MX records as lower priority MX records than the Spamhero records.  Here is an example of MX records you might end up using:

domain-com.p10.spamhero.com. (priority 10)
domain-com.p20.spamhero.net. (priority 20)
domain-com.p30.spamhero.net. (priority 30)
domain-com.p40.spamhero.net. (priority 40)
mxa.mailgun.org. (priority 50)
mxb.mailgun.org. (priority 60)