This sounds like a multi-label problem, which is somewhat different from a multi-class problem.
A multi-class problem uses the various features to estimate the probabilities of multiple events, exactly one of which will happen: the subject who is $28$ years old who lives in New York and who was exposed to asbestos has a probability of being healthy of $0.8$, a probability of skin cancer of $0.1$, and a probability of psoriasis of $0.1$; if you have more than just those two diseases, include them all to get probabilities of each disease. Then, of all the options (heathy or any one of the diseases), exactly one will happen. The likely outcome here is that the subject will be healthy, but the subject might also be upset to know of a decent probability of developing some nasty diseases, even if they’re not among the most likely outcomes. (Would you do something if it had a $30\%$ chance of causing you an agonizing death? Why not? You’re probably going to be fine.)
Multinomial logistic regression is the starting point for this kind of prediction. Such a model gives the probability of each individual disease and the probability of being healthy, the sum of which is one.
However, multiple diseases can happen. Someone can have skin cancer and epilepsy. Someone can have depression and diabetes. Someone can have Covid and HIV and liver cancer. Modeling (the probabilities of) categorical outcomes, multiple of which can occur, is a multi-label problem. The idea is to model the individual probabilities of binary events (cancer vs no cancer, depression vs no depression, Covid vs no Covid, etc), which might be independent but do not have to be.
My answer here gets more into the difference between multi-label and multi-class problems, and my question here has multiple nice answers that discuss the underlying statistical model of a multi-label classification, with the comment about an Ising distribution being particularly helpful (even if my main question about the prior probability remains unanswered).