Previously, \g would successfully execute the COPY command, but
the target specification if any was ignored, so that the data was
always dumped to the regular query output target.  This seems like
a clear bug, so let's not just fix it but back-patch it.

While at it, adjust the documentation for \copy to recommend
"COPY ... TO STDOUT \g foo" as a plausible alternative.

Back-patch to 9.5.  The problem exists much further back, but the
code associated with \g was refactored enough in 9.5 that we'd
need a significantly different patch for 9.4, and it doesn't
seem worth the trouble.

Daniel Vérité, reviewed by Fabien Coelho

Discussion: https://postgr.es/m/15dadc39-e050-4d46-956b-dcc4ed098753@manitou-mail.org