I want to ask a question about game X, but this is the first time anyone asks about X so there's no corresponding [X] tag, and my reputation is too low to create a new tag. How should I tag it?
State the game name clearly in your title and question body.
In the meantime, put some tags that do exist: platform, genre, and/or any other related tags.
You don't need to be obnoxious with a loud "PLEASE TAG THIS" message, having the game name in the question is often sufficient: the people who can re-tag very easily often notice when a question about a game has the platform and genre tags but not the game title, and will spring into action and re-tag the question appropriately.
Note: In the spirit of keeping the tagging system as referring to the content of the questions, we should try to minimize the amount of "system" tagging on the main site. So we shouldn't opt for something like
[tag-this-game] or any similar solution.
Another note: If the tag for your game doesn't exist, but a tag for one of its predecessors or sequels does, please don't use the wrong tag. Just make sure your question clearly states the name of the game you are playing, and you may opt to clarify at the end to establish which specific version you're asking about. But adding the wrong tag will simply invite trouble and make a mess out of things. Replacing a tag versus adding a tag is no difference in work, but the latter won't be giving false pretenses to other users.
I think after making a question you can flag it for moderator attention with the other reason and then just ask them to make the tag.
Apparently >300 rep users can make tags: https://gaming.stackexchange.com/help/privileges/create-tags
So as Robotnik mentioned, just leave a comment asking someone to create a tag.