Why do soldering guns use copper as a heating element?
The big difference between a soldering gun and a "regular" soldering iron is the former is only heated for a few seconds, while the latter usually stays on all the time during work.

Because of that, the gun already is more efficient than a "regular" soldering iron. Very few needs to further improve it.

Apart, from that, why not choose brass? Because brass is more rigid and likely to break. That's bad for a tool which is meant to be thrown into a tool bag.