Poke your head under the dash and look at the clutch master cylinder from the inside. Most likely you're either hearing it squeaking at one of the pivot points, or the clutch pushrod is squealing against the rubber dust boot as you press it.
If you're unlucky it might be the cylinder itself squealing, I have encountered that on a few other vehicles(not Mazda2, just talking in general).
Now c7scayman - it sounds like yours is definitely coming from the interior since it changes with left/right pedal pressure, but just throwing this out there for everyone else to look at the clutch slave cylinder too:
It could be squealing where the end of the clutch slave push rod presses on the clutch fork(easy - just unbolt the clutch slave and apply a dab of white lithium or brake grease or something where they touch then reinstall), or it could be squeaking where the clutch fork physically pivots inside the trans bell housing. I've not tried to inspect it myself on the 2 but you may be able to pull the dust boot and possibly shoot some white lithium CAREFULLY on the pivot point, being sure to not get any on the clutch/flywheel/pressure plate itself(which will ruin it and cause to start slipping), or you may need to pull the transmission to access it properly. It won't hurt anything even long term, just be sure to lube the pivot point up when the trans is pulled for a clutch replacement.
