In a saved search, is it possible to return the countries code or abbreviation?

One option is to create a translation table in your results using a case formula.

I think what they are wanting to do is we have a field that is a number plus country code. They want to use a filter to find where that field combination is using the wrong country code

if you can get to them, the internal IDs of countries' codes in Netsuite are the 2 character country codes. Not sure if they are available in saved searches though