Şu kodu bir dene;

<ul>
    <?php $hiterms = get_terms("category", array("orderby" => "slug", "parent" => 0)); ?>
    <?php foreach($hiterms as $key => $hiterm) : ?>
        <li>
            <?php echo $hiterm->name; ?>
            <?php $loterms = get_terms("category", 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>

Eğer o kod olmazsa aşağıdaki kodu dene;
functions.php e yazdır;

/**
 * Recursively sort an array of taxonomy terms hierarchically. Child categories will be
 * placed under a 'children' member of their parent term.
 * @param Array   $cats     taxonomy term objects to sort
 * @param Array   $into     result array to put them in
 * @param integer $parentId the current parent ID to put them in
 */
function sort_terms_hierarchicaly(Array &$cats, Array &$into, $parentId = 0)
{
    foreach ($cats as $i => $cat) {
        if ($cat->parent == $parentId) {
            $into[$cat->term_id] = $cat;
            unset($cats[$i]);
        }
    }

    foreach ($into as $topCat) {
        $topCat->children = array();
        sort_terms_hierarchicaly($cats, $topCat->children, $topCat->term_id);
    }
}

Kullanım şekli;

$categories = get_terms('category', array('hide_empty' => false));
$categoryHierarchy = array();
sort_terms_hierarchicaly($categories, $categoryHierarchy);

var_dump($categoryHierarchy);

Not: Kodları denemedim. Bir araştırma yaparken denk gelmişti tekrar buldum senin için