If I have understood correctly, you didn't deactivate tag pages (also known as archives) per Yoast SEO, because there you only can prevent these pages from being indexed by search engines.

• That means, they don't appear in sitemaps and have a robots noindex
  tag assigned.
• But they are still there and can be found by crawlers/robots, like Google and Ahrefs, if they are linked from a source.

That being said, I guess you should have a look into the WP-Admin section of your Custom Post Types Plugin and search for dedicated tags for custom post types. As your example is a 404 page, it seems that there is something wrong. For example the tag was there once and was deleted after Ahrefs found the url.