Hi,
Well, not with configuration, but might be possible by using custom code. I have compiled a custom code, that looks something like this on my test environment: https://www.photobox.co.uk/my/photo/full?photo_id=501398430551
To replicate this, you will need to make the following changes:
1. Use checkboxes as the category filter layout (this is the default)
2. Change this option: https://i.ibb.co/d7VVR3L/Capture2.png
3. Then you will need this custom script code. Add this custom code to the functions.php in your theme/child theme directory (copy from line 3 only!). Before editing, please make sure to have a full site back-up just in case!
4. ..and some custom CSS to make it work:
That’s about it. Please note that this may not work as intended in all cases.