Since you have access to the internet (you wouldn't be able to post here if you didn't
) you have access to all the copper you would ever need. Just google copper nails or go to ebay.
---http://cgi.ebay.com/2-5-Copper-Roofing-Nails-1lb-2-5-inch-slate-tiles-1_W0QQitemZ130277118006QQcmdZViewItemQQptZNails_Screws_Fasteners?hash=item130277118006&_trksid=p3286.c0.m14&_trkparms=72%3A1205%7C66%3A2%7C65%3A12%7C39%3A1%7C240%3A1318%7C301%3A1%7C293%3A1%7C294%3A50
Local stores can sometimes order stuff for you if you're willing to wait a while (and if you want to buy local). Sometimes a Depot store will call the closest other Depot store to see if they have what you want...and then you can go pick it up or have it delivered to your store.
I have the same problem....which is why I get most of my stuff online or through one of the guys here on this forum.