Can I set my hearthstone to my Legion Class Hall?

No. Your Class Order Hall will have a unique way to get there, depending on what your class is (Warriors can actually jump from selected locations like Dalaran to their base in the Halls of Valor, and these locations are discovered as you adventure through the Broken Isles — I assume other classes have a similar discovery mechanic) and they can travel freely between Dalaran and their Class Order Hall. There is no inn or hearthstone location in your Class Order Hall.

Legion FAQ || Demon Hunters 101 || Legion Classes 101