Do pennies include more than one kind of metal besides copper?

Very definitely. Copper is too expensive to use in pure or nearly pure form for such a low-denomination coin. Those few countries that still mint pennies / cents use other metals:

US: Copper plating on a zinc core; net composition 97.5% zinc and 2.5% copper.

Britain and the EU: Copper plating on a steel core, roughly similar percentages.