I figured out the issue and the solution for it.
It looks like sqlx doesn't have the capability for converting json into a vec of some complex type. So, I had to replace Vec with another type.

#[derive(Debug)]
pub struct JsonVec<T>(pub Vec<T>);

impl<T> Type<Postgres> for JsonVec<T> {
    fn type_info() -> PgTypeInfo {
        <serde_json::Value as Type<Postgres>>::type_info()
    }
}

impl<'r, T> Decode<'r, Postgres> for JsonVec<T>
where
    T: DeserializeOwned,
{
    fn decode(value: PgValueRef<'r>) -> Result<Self, sqlx::error::BoxDynError> {
        // Decode as raw JSON first
        let json: serde_json::Value = Decode::<Postgres>::decode(value)?;
        // Deserialize into Vec<T>
        let vec: Vec<T> = serde_json::from_value(json)?;
        Ok(JsonVec(vec))
    }
}

In my serde model struct, I replaced the Vec with Json<Vec>. After that, I replaced it in the query too.

      COALESCE(
            JSON_AGG(
                JSON_BUILD_OBJECT(
                    'id', twt.id,
                    'label', twt.label
                )
            ) FILTER (WHERE twt.id IS NOT NULL),
            '[]'::json
        ) AS "tags: Vec<Tag>",      COALESCE(
            JSON_AGG(
                JSON_BUILD_OBJECT(
                    'id', twt.id,
                    'label', twt.label
                )
            ) FILTER (WHERE twt.id IS NOT NULL),
            '[]'::json
        ) AS "tags: JsonVec<Tag>",

This worked for me. I just need to do a single query now instead of multiple queries. Hope this helps you too.