I'll answer my own question. It is not possible to do this in a fully automatic way, but it can be done with a single keystroke. Here's how:
Create a new collection, say "Studio Session" and set it as the target collection. Synchronize the collection with Lightroom mobile. After you take a shot and view it on the laptop, tap the b key to add it to the target collection.
I'll mark the question Answered, but if anyone else has an easier or better way, please post it.
I know this thread is about a year old now, but I'm in a similar situation with my iPad Pro and Lightroom Mobile - to have the ability to auto-add to a collection for Lightroom Mobile sync when tethering would be great.
I stumbled across a Lightroom Plugin that adds workflow automation to Lightroom, including for this very function. I haven't played with it too much yet, but it looks as though you can automate the process to scan the folder you're shooting to and then it will apply presets for you, including auto adding to a collection. Link below, hope it helps!
Jeffrey Friedl's Blog » Jeffrey’s “Folder Watch” Lightroom Plugin (See the section on 'special support for Lightroom Tethering')
Perfect! I was still running an older version of Lightroom on my Macbook from that Nikon and El Capitan Tethering issue at the start of the year. Just updated to CC now - thanks for the tip!