According to these documents , it looks like there can only be one category on each Jekyll page. categories is wrong because you really define a "category hierarchy" - as a file path - so the message is really in one (sub) category. In this limited sense, you cannot do what you want with Jekyll vanilla.
However, Jekyll will process files simply sitting in any directory that does not begin with underscores, and it follows symbolic links. For example, if you create directories for each category and place your page in one of them, you can create symbolic links for any number of other "categories".
mkdir first second touch first/page.md ln -s ../first/page.md second/
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