Since COPY uses \N I figured it was a decent choice. <null> or <NULL> came to mind too, but there were long compared to 1, 2, and 4 that appear along side it.
Well, I would use <null>, it doesn't need any explanation and we could use it everywhere else.
I understand that this page we have more NULL values than everywhere else combined, but it's a good opportunity to set a standard for all documentation