For countries that... are not actually countries.
Take Bermuda for example: https://en.wikipedia.org/wiki/Bermuda
It's a British overseas territory and not an independent country, but it's a separate territory with its own iso-3166 code. Bermuda doesn't have hc-key.
Another example is Cyprus No Mans Area that has its own hc-key, but doesn't have iso-3166 code.
Here you have our map with countries where hc-key is the same like iso-a2 and with 15 "countries" that have no its own hc-key: https://jsfiddle.net/BlackLabel/5fvky3hj/