How does this work for you?
EDIT: Added a "Select Case" statement so you can add the names of the tabs you want to copy in case there are more tabs than just country tabs. This also makes sure the "Consolidation" tab is not included (if your name's not down, you're not coming in!)
Sub Consolidate()
Dim wSheet As Worksheet
Dim Cons As Worksheet
Dim PasteRow As Long
Dim LR As Long
Set Cons = Sheets("Consolidation")
For Each wSheet In ThisWorkbook.Sheets
Select Case wSheet.Name
Case "Denmark", "Spain", "Another country", "Yet another country"
LR = wSheet.Range("B" & Rows.Count).End(xlUp).Row
wSheet.Range("B9:CQ" & LR).AutoFilter Field:=94, Criteria1:="Data"
wSheet.Range("B10:CQ" & LR).Copy
PasteRow = Cons.Range("a" & Cons.Rows.Count).End(xlUp).Row + 1
Cons.Range("A" & PasteRow).PasteSpecial xlPasteValues
End Select
Next
End Sub
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