Paint Shop Pro uses "Save copy as" I think.
Export, to me, sounds like a function to export the file to a format not natively supported by the software itself.
"Save merged copy" seems odd, as the copy could just as well be in PDN format which is layered.
"Save copy as" seems perfect, as it tells you three things:
1 - It's a save function
2 - It'll save the file as a copy (of the original)
3 - The "as" bit, in my perception, implies that the user specifies where the file will be placed (like the difference between "save" and "save as"). In that sense "Save copy" would be slightly less intuitive.
Also, as has been pointed out earlier, "Save as copy" does indeed imply that your current working file is changed to the copy.