You choose the mode when you put Blizzard Specter’s triggered ability on the stack. Blizzard Specter’s second mode may be chosen even if the player’s hand is empty.
2017-11-17 • wotc
If Blizzard Specter’s first mode is chosen, the player who was dealt damage chooses the permanent to return to hand when the ability resolves. A permanent with hexproof or protection from black may be chosen this way.