The research on human emotion under electroencephalogram (EEG) is an emerging field in which cross-subject emotion recognition (ER) is a promising but challenging task. Many approaches attempt to find emotionally relevant domain-invariant features using domain adaptation (DA) to improve the accuracy of cross-subject ER. However, two problems still exist with these methods. First, only single-modal data (EEG) is utilized, ignoring the complementarity between multi-modal physiological signals. Second, these methods aim to completely match the signal features between different domains, which is difficult due to the extreme individual differences of EEG. To solve these problems, we introduce the complementarity of multi-modal physiological signals and propose a new method for cross-subject ER that does not align the distribution of signal features but rather the distribution of spatio-temporal relationships between features. We design a Variational Bayesian Heterogeneous Graph Neural Network (VBH-GNN) with Relationship Distribution Adaptation (RDA). The RDA first aligns the domains by expressing the model space as a posterior distribution of a heterogeneous graph for a given source domain. Then, the RDA transforms the heterogeneous graph into an emotion-specific graph to further align the domains for the downstream ER task. Extensive experiments on two public datasets, DEAP and Dreamer, show that our VBH-GNN outperforms state-of-the-art methods in cross-subject scenarios.