"Pennies were even made out of steel for a couple of years during the war."
One year, actually. 1943. A few copper 1943 cents were minted. They are TURBO valuable.
From 1944 to 1946 pennies were partially made with scrap brass retrieved from shell casings. There's a good chance that German and Japanese shell brass went into later pennies.
The same copper shortage also led to the military making steel casings for .45 ACP.
I'll be dipped! Midway came across a stock of WW II steel-cased .45 ammo made by Evansville Chrysler.