Change tags url to search different site

There’s a filter in place specifically for tag links, can be found in source here.
http://core.trac.wordpress.org/browser/tags/3.0.4/wp-includes/category-template.php#L780

It’s the first function you see on the above link, and it’s this line that provides a hookable filter.

return apply_filters( 'tag_link', $taglink, $tag_id );

Here’s an example of hooking a function to that hook..

add_filter( 'tag_link', 'new_tag_link', 100 );

function new_tag_link( $taglink ) {

    // What to find in the link
    $find = home_url();

    // What to replace it with
    $replace_with="http://example.com";

    // Run string replacement
    $taglink = str_replace( $find, $replace_with, $taglink );

    // Return the modified tag link
    return $taglink;
}

I have not tested the code because as indicated above it’s only an example, but in theory the above should do exactly what you asked.

Hope that helps.

UPDATE: Code provided above works just fine now, you can also use the below code as an alternative, both will effectively do exactly the same though.

add_filter( 'term_links-post_tag', 'replace_tag_domain', 100 );

function replace_tag_domain( $links ) {

    // What to find in the link
    $find = home_url();

    // What to replace it with
    $replace_with="http://example.com";

    foreach( $links as $k => $link )
    // Run string replacement
        $links[$k] = str_replace( $find, $replace_with, $link );

    // Return the modified tag link
    return $links;
}

NOTE: Code can go into the functions file of your theme, that’s where i do my testing.