I'm not sure /why/ you want to assign to $h{undef} which is what your trying, my best suggestion would be to explicitly use $h{ $val // '__NOT PRESENT__' } in perl 5.10. This still leaves it as an exercise to the reader, on what to do when you have two undefs you want to save too...
This is pseudo-data, which probably doesn't represent a real world problem very well. My fix would be to skip over the undef vals.

foreach my $d(@data){
    my %h;
    foreach my $c(0 .. $#categories){
        my $val=$d->[$c];
        next unless defined $val;
        my $cat=$categories[$c];

        $h{$val}=$cat;
    }

    push @master, \%h;
}
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