psql \set vs \copy - bug or expected behaviour?

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