There's nothing in the ning documentation i can find that says how to do it, so maybe you can't. i agree it's kind of frustrating to put up a 2 word tag and have it split into 2 different tags. You could try emailing ning directly to ask someone there.
I stand corrected. It's actually pretty easy to do. If you tag as "studio artist", then it will be one 2 word tag as opposed to 2. the key is adding the double quote on either side of the multi word phrase. Separate your phrases with commas.