Speedy, that coating on the tig rod is there for a reason. That's what we call silcon coating, it helps to control the weld puddle in GTAW. The only thing we do is wipe the rod with acetone using clean rag. This helps get rid of the oils that are there from when the product was manufactured. Never use sand paper or anything abrasive to clean tig rods.

As an example, with reference to SFA-5.18, it does allow total of 0.5% max. Cu be coated or in the filler metal(see note d), we never do any thing to the Cu coated at the external surface of the tig rod, as I understand that this coated cu is used for the purpose of corrosion protection, since practically that nobody will use a quiver or oven to bake the tig rod after the rod been issued from the warehouse for use, in our experience of manufacturering boilers and pressure vessels for over 20 years, these kind of tig rods have been used for tons to weld the pressure part and nonpressure part, no problem at all when it is used to weld plain carbon steels, low alloy steels(P-No. 3, 4, 5A), if there is a special concern must be a special metal, which I don't know what kind of metal it is, not in the field that I'm familiar with.
kind regards
H.Chang