psql '\copy to' and unicode escapes

I fear that I'm missing something very obvious, but I cannot find a syntax
that permits me to use an escaped hexadecimal representation in a CSV file
and have that representation interpreted as the equivalent unicode
character when inserting into the database. Both client and server are
using UTF8 encoding.

For example, trying to insert the 'degree' symbol, I've tried:

U&"\00b0"
E'\00b0'
"\u00b0"

In all cases, I simply get the literal string in the table, not the desired
unicode character.

If I use them in an 'INSERT' statement, it works properly. The problem is
almost certainly between the chair and the keyboard, but what am I
misunderstanding?