Thank you very much for your response!
Yes, I was able to change the individual tag to capitalize it using the method you described, and that seems to work well.
I was hoping, though, that there would be a way to do this universally with a line of code or some change in the Yoast plugin (or the site’s code) so all the tags could be changed in bulk and by default. In my case, I have almost 5,000 tags, so it would be great to not have to change each one manually. Any thoughts on if this is possible?
Thanks!