Gracias, me has dado la pista:
<?php
$seleccionada_letter = $_GET['letter']; //letra seleccionada
$subcategories = get_categories('&child_of=9&hide_empty');
foreach ($subcategories as $subcategory) {
$sub = $subcategory->name;
if(
preg_match("/^$seleccionada_letter/", $sub))
{
echo sprintf('<li><a href="%s">%s</a></li>', get_category_link($subcategory->term_id), apply_filters('get_term', $subcategory->name));
//echo "- ".$sub."<br>";//todas las cat
}
}
?>