I believe the engine wasn't used here in North America, at least not after the Protege was gone. The 2.0L was the smallest engine of the 2008 vintage Mazdas here, and all called for 5W-20. The 1.8L engines would have called for 5W-30 in the U.S. and Canada IIRC. I would use a good synthetic 5W-30 and call it a day...
I would think you're fine with anything in that engine from 0W-20 to 5W-40 (some U.S. 2009 Mazda6's actually had a listing for that weight specifically in the manual, which is unusual here). But that would have been for the 3.7L V6 beastie they had...