In the edit shelf/tag mappings dialog you will see that it is just the same as a tags field in the gui - comma separated values allowing you to select from all the known values in that column. So absolutely you could map a goodreads shelf name of "paranormal-romance" to two Calibre tags of "Paranormal, Romance" if you so chose.
Note that the exact same mapping is applied in reverse if you choose upload. So if your book has tags of "Paranormal, Romance", it would be put on the "paranormal-romance" shelf.
Note that if you also have mappings in place for a "paranormal" Goodreads shelf to map to a "Paranormal" tag in Calibre, then choosing upload will put this book on your "paranormal" shelf too, since it is a subset of the tags that is found.