There isn’t a built in way to filter by tag in the Events List Widget, but if you’re comfortable with some code you might be able to change it with a template override. One of the .php files you can change is for that widget, so you’d want to start there. We have an intro to template overrides here.
Also, we’d love to have you add your idea as a feature request in our UserVoice forum. Then we may add it in a future build.