It looks like \copy is just passing the text of the query unadjusted to
"COPY". I get a syntax error on ":x" with the \copy below on both 9.0
and 9.1
=== test script ===
\set x '''HELLO'''
-- Works
\echo :x
-- Works
\o '/tmp/test1.txt'
COPY (SELECT :x) TO STDOUT;
-- Doesn't work
\copy (SELECT :x) TO '/tmp/test2.txt'
=== end script ===
--
Richard Huxton
Archonet Ltd