Hopefully you realize that COPY is going to place that file on the server, not send it to the psql client to be placed on the local machine.
The best way to do copy in psql is:
\set afile '...'
\o :'afile'
copy ... to stdout; --or the variant where you one-shot the \o ( \g with arguments )
Not only do you get variable expansion but you can write the COPY command on multiple lines just like any other SQL command.
Additionally, we have a list, and even an online form, for submitting bug reports. That would have been the more appropriate place to direct this email.