Problem with \set command

I used this following command to set a variable in psql:

\set data_dir '/source_code/lookup/data'

And then I tried to used that variable inside a \copy command like this:

\COPY mytable_lookup FROM :data_dir/mytable_lookup.txt delimiter '|'

I was expecting that ':data_dir' will be replaced by the value that was defined earlier, but got this error
message:

:data_dir/mytable_lookup.txt: Invalid argument

I have a feeling it is considering the whole 'data_dir/mytable_lookup.txt' as a variable name.

Is there anything in psql that is equivalent to shell script's ${var_name} to denote the beginning and
end of a variable name?

Thanks.

Syed

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