In order to assign a specific template override to a tag, you MUST create a menu item for that tag. It's the only way the system can differentiate WHICH sub-template you wish to use.
The other (advanced) option would be to append the sub-template name to the URL of each tag (by modifying the tag cloud's output) and then using a system plugin load the appropriate K2 sub-template.
Fotis / JoomlaWorks Support Team
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