Получилось вывести вот так:
<ul>
<?php $hiterms = get_terms("название ваше таксономии", array("orderby" => "slug", "parent" => 0)); ?>
<?php foreach($hiterms as $key => $hiterm) : ?>
<li>
<?php echo $hiterm->name; ?>
<?php $loterms = get_terms("my_tax", array("orderby" => "slug", "parent" => $hiterm->term_id)); ?>
<?php if($loterms) : ?>
<ul>
<?php foreach($loterms as $key => $loterm) : ?>
<li><?php echo $loterm->name; ?></li>
<?php endforeach; ?>
</ul>
<?php endif; ?>
</li>
<?php endforeach; ?>
</ul>