Heliod, Sun-crowned combo with Walking Ballista
Sure, they can:

kill either Conclave Mentor or Heliod, Sun-Crowned as soon as you play Walking Ballista (i.e. put it on the stack, before it resolves and enters the battlefield)
kill Heliod or the Ballista in response to you activating Heliod's last ability (if they kill Heliod, the Ballista will gain lifelink, but it won't get more counters)
kill the Ballista after you activate its last ability for the first time; you can activate its ability again in response to that, but after paying the cost of the ability it won't have any +1/+1 counters on it and will die from state based effects, unless you have an anthem-like effect in play. In that case, you would be able to activate the Ballista's ability an arbitrary number of times before the kill spell resolves.