[semiquaver]

psql’s \copy command utilizes the server’s COPY functionality, which absolutely can read and write files on the server or run commands there [1].

  COPY with a file name instructs the PostgreSQL server to directly read from or
  write to a file.  The file must be accessible by the PostgreSQL user (the user
  ID the server runs as) and the name must be specified from the viewpoint of the
  server.

Clients using COPY, including psql’s \copy, often pass STDIN or STDOUT as the “file”, which allows data to be transmitted over the wire rather from the server’s filesystem.

https://www.postgresql.org/docs/11/sql-copy.html