// Twig
{% set tags = [] %}
{# Step 1: Hyphenise each tag and add to array of tags #}
{% for tag in page.taxonomy.tag %}
{% set hyphenisedTag = tag|hyphenize %}
{% set tags = tags|merge([hyphenisedTag]) %}
{% endfor %}
{# Step 2: Join array of hyphenised tags #}
{% set filter = tags|join(' ') %}
<li data-filter="{{ filter }}"></li>
// Generated HTML
<li data-filter="a b hyphenate-me c"></li>