In order to fully comprehend what is faster, you have to understand how the CSS parser works.
The selector you pass in gets split into recognizable parts using RegExp and then processed piece by piece.
Some selectors like ID and TagName, use browser's native implementation which is faster. While others like class and attributes are programmed in separately and therefore are much slower, requiring looping through selected elements and checking each and every class name.
So yes to answer your question:
$('tag.class') is faster than just $('.class'). Why?
With the first case, jQuery uses the native browser implementation to filter the selection down to just the elements you need. Only then it launches the slower .class implementation filtering down to what you asked for.
In the second case, jQuery uses it's method to filter each and every element by grabbing class.