The Probabilistic Traveling Salesman Problem (PTSP) is an important topic in the study of traveling salesman problem and stochastic routing problem. The goal of PTSP is to find a priori tour visiting all customers with a minimum expected length, which simply skips customers not requiring a visit in the tour. There are many existing researches for the homogeneous version of the problem, where all customers have an identical visiting probability. Otherwise, the researches for the heterogeneous version of the problem are insufficient and most of them have focused on search base algorithms. In this paper, we propose a simple construction algorithm to solve the heterogeneous PTSP. The Minimum Expected Length Insertion (MELI) algorithm is a construction algorithm and consists of processes to decide a sequence of visiting customers by inserting the one, with the minimum expected length between two customers already in the sequence. Compared with optimal solutions, the MELI algorithm generates better solutions when the average probability is low and the customers have different visiting probabilities. We also suggest a local search method which improves the initial solution generated by the MELI algorithm.