This didn't actually work: COPY would fail to flush the right files, and
instead would try to flush a non-existing file, causing the whole
transaction to fail.

Cope by raising an error as soon as the command is sent instead, to
avoid a nasty later surprise.  Of course, it would be much better to
make it work, but we don't have a patch for that yet, and we don't know
if we'll want to backpatch one when we do.

Reported-by: Tomas Vondra
Author: David Rowley
Reviewed-by: Amit Langote, Steve Singer, Tomas Vondra