Sometimes you still need to use FirstOrDefault if you have to do different tests. If the Key component of your dictionnary is nullable, you can do this:
thisTag = _tags.FirstOrDefault(t => t.Key.SubString(1,1) == 'a');
if(thisTag.Key != null) { ... }
Using FirstOrDefault, the returned KeyValuePair's key and value will both be null if no match is found.