The W3C specs for h2 say that its permitted parent elements are anything that can contain flow elements, or hgroups. The specs for a permit parent elements that can contain phrasing or flow elements. h2 can contain phrasing content, and a can contain phrasing or flow content, so based on the spec it appears that either is permitted.
Since you included the semantics tag, I assume you're interested in which 'seems' better too. For my part, since I can't think of when I'd want an anchor to span a heading plus other content, but I can think of plenty of times when a header should contain an anchor plus other content, a inside h2 seems the best route to go.