Weather stations in many Climdex datasets, including HadEX2 and GHCNDEX, are given IDs according to their country. The first two letters of a station ID are this "country code", and you can search for weather stations by country by including this country code as the ID pattern.
A few HadEX2 stations that were present in the original version of HadEX don't have a country code—instead they use the code H1
.
Generally, either all the stations from a given country have a country code, or none do, so you needn't worry about missing stations if you find a country code below.