Spatio-temporal data generation aims to synthesize realistic urban data across graph nodes by learning spatial and temporal dependencies. This task plays a crucial role in urban planning by enabling the simulation of unobserved nodes. However, existing approaches face critical limitations that time series generation methods fail to generalize to unseen nodes, while spatio-temporal generative models are either restricted to the trajectory generation task or dependent on auxiliary data inputs. To bridge these gaps, we propose a Knowledge Graph Guided Heterogeneity-Informed Diffusion Model (KGDiff) in this paper through the following key innovations. First, we design a geometry-aware mixture of experts integrating Euclidean, hyperbolic, and hyperspherical representations to comprehensively encode urban structural knowledge. Next, we present a learnable meta spatio-temporal pattern module that normalizes node-specific heterogeneity before the generation process, and a conditional denoising process that progressively transforms random noise into realistic samples under structural guidance. Finally, extensive experiments across real-world urban datasets demonstrate that KGDiff achieves the state-of-art performance in generating realistic urban spatio-temporal data.