You'd need to manipulate the DB, which is tricky but can be done if you get your head around it. Instructions below.
0 - MUST BE DONE FIRST - make a back up of your DB, just in case somthing goes wrong.
1 - Log out of your websites admin area.
2 - In the 'wp_terms' table -
a - locate the tag you wish to change to and note the 'term_id'.
b - locate the cat that you wish to be the parent of the new sub-cat and also note that ID.
3 - In the 'wp_term_taxonomy' table -
a - locate the 'term_id' that you have just noted for the tag you wish to change.
b - click to edit this row.
c - change the column 'parent' to the 'term_id' of the of the cat you wish to use as the parent
d - change the column 'taxonomy' to say 'category'.
e - click 'Save'/'Ok'/'Go'/What ever your DB manager users as the button
4 - Log back in to your admin area and check to ensure all is good.