Starting with your first question:
"is there a way I can increase a heroes' (Thrall, Arthas, ect.) hit points, maybe editing a game file?"
The object editor has functionality to edit unit hit points, attributes, mana, etc. So a quick overview of what you would need to do is familiarize yourself with the object editor in the world editor. Pop open the editor and lets take a quick look!
When you start up the editor it will prompt you to make a new map, just click okay because we will just be looking at the values for now. Once your blank terrain has generated, take a look at the icons.
That little icon there will bring up the object editor which contains the values you cited. Go ahead and click on it, and you will see a whole bunch of folders and other icons which contains all the statistics and data relevant to each unit. Go ahead and explore a bit, but lets take a look at thrall, one of the heroes from the campaign like you stated.
Clicking on the [+] will reveal all the orc units. Click on the [+] next to 'Campaign (49)' and then move on to heroes.
This will bring up all the orc campaign heroes. Now click on any hero that you would like, but for this i'm gonna choose thrall. You'll see on the right side of the window there is a display of all the different values relevant to the unit. To keep from being overwhelming we'll just focus on changing hit points. Go ahead and press CTRL + F and type in hit points:
Doing so will bring you to the above data field, you can double click it and change the value to whatever you want. The important thing to note is that this will only change the data relevant to the units in the map that you are editing. This point is important to remember as I move on to your second question:
"is it posible to do this in Story Mode (ex. give thrall 2000 hit points, increase strength, ect.)"
The answer is '
sort-of.' Doing so would likely require the capability to play custom campaigns, if you truly want to dedicate yourself to modifying the values of these units in campaigns you would need to do some CASC extraction using a
Tool. Be warned that you should be wary of opening the games CASC files while it is running, some bad things can happen if you start poking around the gears while they are still turning. Using the CASC editor you can extract the levels from the campaign that you want and then open them up in the Warcraft III editor, then you can edit them using the method that I showed you. You may also add items or freely manipulate the levels to your hearts content.
I am unsure but it may be possible to actually edit the controllable Hero of your choice only ONCE in just ONE of these maps, then play it through test - map through the editor in order to cache the Hero (Arthas as an example) and cause it to load in its current state in the next level. However I remember attempting this once and it did not seem to work, perhaps if you can manage to re-inject the edited file back into the CASC files and then run it through the normal WC3 campaign interface you will get easier results. Either way best of luck!
Edit:
Added spoilers to the images for easier scrolling.
