Notice: Undefined index: o:tag in /var/www/mysite.com/htdocs/wp-content/plugins

Also had the same issue.

Notice: Undefined index: o:tag in /mailgun/includes/wp-mail.php on line 154

File to change : /mailgun/includes/wp-mail.php

The mailgun plugin is assuming o:tag has been declared. My fix is to change line 154

if ($body['o:tag']=='') {

to

if (!isset($body['o:tag'])) {

One can assume that the else call looks at lines 146-149 which would previously declare tags so I dont think any extra logic would be needed, however if you would like to be extra cautious change the block of code to define o:tag and then use the same mailgun logic

// campaign-id now refers to a list of tags which will be appended to the site tag
	if ( isset( $mailgun['campaign-id'] ) ){
		$tags = explode(",", str_replace(" ","", $mailgun['campaign-id']));

		if (!isset($body['o:tag'])) {
			$body['o:tag']= '';
		}
		if ($body['o:tag']=='') {
			$body['o:tag']= $tags;
		} else {
			$body['o:tag'].=','.$tags;
		}
	}

I had the same issue, just changed line 154 to read
if (@$body['o:tag']=='' || !isset($body['o:tag']) )

Something similar is here https://github.com/mailgun/wordpress-plugin/issues/10

Mailgun seems not to be responding on GitHub