('TEST one\r\n' )
TEST one\\r\\n
This has nothing to do with the copy command. You are mis-informed on how to write string literals, in particular expecting ‘\r’ to be escaped when in fact in a simple string literal the only special character is the single quote.
You need to review 4.1.1.2 (https://www.postgresql.org/docs/current/sql-syntax-lexical.html#SQL-SYNTAX-CONSTANTS) if you need to write string literals that contain backslash escapes.
David J.
