the COPY NULL string:

        test=> copy pg_language to '/tmp/x' with delimiter '|';
        COPY
        test=> copy pg_language to '/tmp/x' with delimiter '|' null '|x';
        ERROR:  COPY delimiter must not appear in the NULL specification
        test=> copy pg_language from '/tmp/x' with delimiter '|' null '|x';
        ERROR:  COPY delimiter must not appear in the NULL specification

It also throws an error if it conflicts with the default NULL string:

        test=> copy pg_language to '/tmp/x' with delimiter '\\';
        ERROR:  COPY delimiter must not appear in the NULL specification
        test=> copy pg_language to '/tmp/x' with delimiter '\\' NULL 'x';
        COPY