No. It'd be a wire protocol break, and even if it weren't I would not expect many clients to be able to deal with it. They're in the middle of a query cycle (for the SELECT or CALL that got you into SPI), and suddenly the backend asks for COPY data? What are they supposed to send, or where are they supposed to put it for the COPY-out case? There's just not provision for nesting protocol operations like that.
What about running a COPY directly from C - is that possible?