When you create a coupon, you can decide if sales tax will or won't be calculated for the coupon's amount and thusly deducted from the order total.
Typically, if the item(s) the coupon is applied to is taxable, you'll want the coupon to be taxable.
Go to Dashboard > Warehouse Management > Items
Select & edit the coupon in question
In the Item Setup tab will be a checkbox labeled "Taxable", select your option
Disclaimer: Sales Tax Calculations are widely complicated and vary by tax jurisdiction, please consult your Tax Advisor.