Heterogeneous Hoeffding/McDiarmid
Yes. See for example the stronger concentration for the occupancy problem in the following note:

http://sarielhp.org/teach/17/b/lec/10_martin_II.pdf

Theorems 10.3.1 and 10.3.2.
(This is also covered in the Randomized Algorithm book by Motwani and Raghavan).

The version stated here is the martingale version, but it is the same thing...