Yes, it is possible to COPY from any query, whether or not it refers to a table.
However, COPY is a non-plannable statement, a utility statement. It doesn't support query parameters - and query parameters are how PL/PgSQL implements the insertion of variables into statements.
So you can't use PL/PgSQL variables with COPY.
You must instead use dynamic SQL with EXECUTE. See the Pl/PgSQL documentation for examples. There are lots of examples here on Stack Overflow and on https://dba.stackexchange.com/ too.
Something like:
EXECUTE format('
COPY (
select %L
)
TO ''c:/temp/out.csv'';
', my_var);
The same applies if you want the file path to be dynamic - you'd use:
EXECUTE format('
COPY (
select %L
)
TO %L;
', my_var, 'file_name.csv');
It also works for dynamic column names but you would use %I (for identifier, like "my_name") instead of %L for literal like 'my_value'. For details on %I and %L, see the documentation for format.