I want to add my Heroku External Objects to my Salesforce org but there isn't an option that allows me to do so
You've enabled External Objects in Heroku Connect, but you can't select OData as a Type in the New External Data Source page. You may only see a choice that says Simple URL.
In order to use Heroku External Objects in your Salesforce org, you'll need to make sure you have a license for Salesforce Connect. You may need to contact Salesforce support to add the license to your current agreement.