Is it possible to have specific data for country, region, city, neighbourhood?

The availability of the data is different for each dataset and service. For example, Copernicus Climate Change Service ERA5 dataset is the fifth generation ECMWF atmospheric reanalysis of the global climate. Data are available free from 1979 to the present and users can download it with the Copernicus Data Store (CDS) Web API specifying a geographical subset or can use the ERA5 explorer application to discover a range of local climate statistics.