How do I create a category based on multiple tags?

Here’s the prob,

I’ve got a ton of tags which are the names of countries. I would like to create a few categories based on some of those tags.

IE: tags -> “yemen, syria, saudi arabia, bahrain” use those tags to create a category such as “Middle East” then make a nice custom menu to have all those post show up from those specific tags.

Thanks for the help!