We're playing through 'Entering the Mines', which attachs the Cave Torch to a player's Hero during setup

If that Hero is later killed, what happens to the Cave Torch and is there any way of claiming it for another Hero?

I believe there aren't any way of claiming it back

From the Khazad-dum rules insert:

"If Cave Torch would leave play, either through a card effect or due to the hero it is attached to leaving play itself, then it is removed from the game. When a card is removed from the game, it should be set aside and ignored for the rest of the game."