They could readily adopt a steel penny, or even one of some type of plastic.
I hazard a guess that it has more to do with state, county and municipal revenues.
For example, in this area, there is a 7.5% sales tax. That other 2.5%, going into the coffers of the taxman ... or, in the pocket of the merchant, upon which their revenues are taxed at a particular level ... that all adds up to billions, over the course of a month 'r so.
If copper is too high to produce pennies, their are ample alternatives that would utilize other metals.
Point of fact, I used to have a collection of WWII steel pennies (copper was necessary for the war effort.