If you mean one of the default tax reports, they organize transactions according to the tax line items you have associated your categories with. This is done in the category set-up menu. Click on Tools on the top menu, then Category List. Make sure any categories that are tax-related have a Tax Line Item designated to them.

If you pull up a Cash Flow report in Banking Reports, it should pull transactions from all your categories

If you are wanting to add new categories to a saved report, bring up the report, click on the Customize icon in the upper/right corner of the report window, click on the categories tab, click in the box beside any new categories you want to include in the report. Save your report again for future use.

I have some saved reports, but I typically just do a new Cash Flow report most of the time. That way I don't miss anything
Edit: Just wanted to emphasize the importance of doing a cash flow reports (which pulls all categories). If you are relying on saved reports, or the tax reports, you are at risk of not including transactions that are either in categories which are not checked/included in saved reports, or are not assigned a Tax Line Item if you're pulling the default Tax Reports. I'm not saying to avoid using custom reports or the Tax reports, just verify totals in those reports from one of the default reports that will pull all categories.