Is there a tag that we can use for games which we don't already have tags for? While we do have an extensive library of tags, there is no way we have a tag for every single game available on steam, in other countries (not America, I mean), for arcade, for mobiles, for consoles and handhelds and PCs, there are just too many. If there isn't already a tag for these, is it worth creating one? And how should we make the etiquette? Should we have a way to request a tag to be added if you don't have to reputation handy for it?
Yes, it is always worth creating a tag for a game that doesn't yet have a tag, provided it's done as part of the process of asking a question about that game. Don't start creating tags for games that have no questions.
In the event a tag doesn't exist, and you do not have the required reputation level to create the tag in question, you can put a small note on the bottom of your question stating that you tried to create the tag and this will be edited out and the question will be retagged by a higher rep user when the question is reviewed.
Since you can't raise a question without a tag, you can use a 'similar' tag (for example, for a prequel if the game is a sequel) or the 'untagged' tag if the former isn't appropriate (use of the untagged tag will certainly draw attention to the question and get it retagged asap).
There's no reason to create tags when there is no question about that tag. Otherwise we'd have way too many tags for every game in existence for no particular reason. If you don't have the reputation to make a tag, you can either request a tag to be made on the meta or just let someone with the reputation to edit your question to put the right tag on.
As a side note, there used to be an untagged tag but we've done our best to burninate it.