I was recently having an issue doing a dump to a CSV file from psql command line. Some bug with a permissions error.
The fix was to do run it from the shell like so:
$ psql -c "COPY (SELECT * FROM <schema>.<table>) TO STDOUT with CSV HEADER" -o /path/to/dump.csv -U <username> <database>;
Putting that up more for my own reference then anything, but hope it helps someone else out there.