I don't know of an existing XQuery module that provides that functionality. But as all codes are available from the ISO Online Browsing Platform, you cal easily build your own.
I quickly generated an XML document from all currently assigned codes, which can be found at https://gist.github.com/LeoWoerteler/9388743. Using that, the conversion from alpha-2 to alpha-3 codes could be done as follows:
declare variable $iso_3166-1 := doc('iso_3166-1.xml')/iso_3166-1;
declare function local:alpha2-to-alpha3($code) as xs:string {
$iso_3166-1/country[@alpha-2 = $code]/@alpha-3
};
local:alpha2-to-alpha3('US') (: ==> 'USA' :)