You’re not adding a collection into a collection as such.
You’re on the Blog Post Template Page (yes its a collection), but it is the blog post template page. And to showcase these bespoke tags you’ve referenced per individual blog post, you drop in a collection list element. From there you reference / bind / pull in the categories you’ve assigned.
You can, and you’re allowed to add a collection list on any page you like. If you add a collection list element onto a page, all you’re doing is simply displaying content, which is pulling from another collection - that’s it. It’s very powerful.
A really basic example… a website may have a brand/retailer collection and it may also have a discount code collection. On the brand page the website might want to display discount codes unique to each brand. Therefore you drop in a collection list onto the brand page, bind it to the discount code collection, and as long as the discount codes have been referenced to a retailer in the CMS (like you have done with the categories on the blog posts), then the correct discount codes will display.