Looking at a dump of the Grav variable taxonomy and reading through the source code, it appears that there is no concept of taxonomy hierarchy in Grav. That is if a blog is using categories and tags, there doesn’t seem to be a data structure that keeps track of which tags are used by which categories. So, if you want to create a menu with the categories as the first level and the tags used in each category in the second, there isn’t anything at hand to use.
Does that mean a plug-in would have to traverse the entire site to assemble such an array?
Take a look at the RelatedPages plugin. I think this is a good example of building up some other logic (related pages in this case) and caching those results (for performance) during the page processing within Grav.