I frequently playtested the game running multiple Heroes. You can do it: you're basically playing both positions in a two player game. The big headache is keeping track of the Monsters you've drawn. The main reason I didn't include any solo multi-hero adventures is due to the complexity issue: you double the complexity.
For those that haven't seen the game, when you encounter a monster, you draw a card that contains the actions that monster will take. For example, if you are controlling three monsters, you will have three monster cards. If you play as written running two Heroes, you'll basically have your left hand holding one Hero's monsters and your right hand will hold the other Hero's monsters.
You could run a Hero phase for each hero, and then have a combined Exploration phase and Villain phase. If you revealed two tiles during your Exploration phase, you'd need to place two new Monsters, one on each new tile. During your Villain phase, you'd run all the monsters at once. It would unfortunately halve the power of any of the "solo" monsters as they are designed to act during every player's Villain phase.
There is an Adventure that allows you to play all the Heroes, but only one at a time.