The working solution I have right now is to create a temporary view, which can be declared over multiple lines, then select from it in the \copy command, which fits comfortably on one line.
db=> CREATE TEMP VIEW v1 AS
db-> SELECT i
db-> FROM generate_series(1, 2) AS i;
CREATE VIEW
db=> \cd /path/to/a/really/deep/directory/structure/on/client
db=> \copy (SELECT * FROM v1) TO 'out.csv' csv header
COPY 2
db=> DROP VIEW v1;
DROP VIEW