I've commonly seen stainless steel tubing used for steam tracing applications.
For low pressure steam, copper tubing is an option as it has reasonably good strength. 1/2" 0.035" wall copper (K spec) tubing is good to 200 psig at 400F so IMO it rules out using it at much over 150 psig. You can of course go to thicker wall tubing but you don't nearly as much margin in pressure capacity that you get with using stainless steel tubing.
Stainless steel tubing has a much higher pressure rating (2000+ psi in these sizes) and the higher thermal conductivity copper has isn't an issue IMO with tracing.
The current plant I'm working at uses copper tubing for 55 psig steam. For the 225 psig tracing steam that we will be using in some applications, we've elected to go with stainless steel tubing.