It has nothing to do with taxonomies in my opinion. A simple solution could be to allow paths like “Locations/Data” in the category name and then build the UI.
This had to be reworked a bit on our end to make this work again, as we had this work done on an older version of Squidex, from the commits getting it working again on the new version - I checked the diff produced and did this work on a new branch and have submitted a PR