Can you choose to buy a Grand Market when you have a Copper in play, and then fail at it?
It doesn't matter.
Suppose the answer is yes. In that case: you play your Copper, you've got $6 and one buy, and you choose to buy a Grand Market, and you fail at it. Since you failed at it, you haven't bought a Grand Market (or anything else). Thus you haven't used up your buy and haven't spent your $6, and may buy something else instead.
When you're in the Buy Phase and choosing to buy cards (or not), you can always just, you know, not buy the Grand Market, so in this situation I really can't see that it matters at all.
The only time it would matter, is if there existed a card instructing you to buy a card. Compare with gaining. Let's say you Upgrade a Copper and don't want a Poor House. You can use Trader and gain a Silver instead. As we know the original gain never happened. "When you would gain" the Poor House, "instead, gain a Silver." The gain was cancelled and something else happened instead (which happened to be another gain). Upgrade never gained you a card, but you used up the gain anyway, you don't have to gain anything per Upgrade's gain instruction now. Upgrade told you to gain a card, but didn't track whether you succeeded.
Suppose there's a card Shopping: "Buy a card costing up to $6" (allowing you to play Treasures a la Black Market).
Grand Market would effectively say, "If you have any Coppers in play, when you would buy Grand Market, instead, you buy nothing." So if you Golemed into Shopping, you could play Coppers, choose to buy Grand Market, and by the same logic as with Trader, cancel the buy without having to buy anything else.
What about the coins though? I guess they're not used up.
Anyway, there are no mandatory buys in Dominion. If there were, trying to gain a Grand Market could be a tactic if you're required to buy a card but don't want to. With the current ruling (Grand Market isn't even choosable) that would be impossible. But as there are no mandatory buys, it (still!) doesn't matter.