To get Country Name by Country code for Sales order in Ax 2012 you can try below code.
Like code is SAU then if you want to display name of SAU as Saudi Arabia then you need to find it from LogisticsAddressCountryRegionTranslation table.
LogisticsAddressCountryRegionTranslation::find
(LogisticsPostalAddress::findRecId
(salesTable.DeliveryPostalAddress).CountryRegionId,'EN-US').ShortName
Like code is SAU then if you want to display name of SAU as Saudi Arabia then you need to find it from LogisticsAddressCountryRegionTranslation table.