Reading @bep 's comment in this thread Taxonomy Additional Information in Data it seems that you need to place your _index.md inside a directory structure that matches the tag URL.
So to solve this issue you need to create an identical _index.html under content/tags/my-tag/
EDIT
I’m not quite sure if this a bug or a choice by design.
@Jonathan_Griffin If you want you may file a Github issue and see what the Devs have to say about this.
I have to admit though that replicating taxonomies’ URLs in folders is a bit of an overkill.
So if you open a Github issue post the link over here so that I can up-vote it or comment over there.