Unfortunately it is not logically possible to support this request.
The problem is that if Aha! were to automatically add underscores to tags when sending them to JIRA, Aha! would also need to automatically remove underscores when receiving tags from JIRA. But if the user in JIRA really intended to have underscores in their tag they would incorrectly end up with two tags in Aha!
If you want to integrate Aha! with JIRA then within Aha! you must use tags that meet JIRA's limitation of no spaces in tag names.