First of all, I know you're worried about theft of the copper pipe, but it's not as easy to swipe as lead flashing- it's a little more hazardous. Don't get me wrong, I have known it happen, my father-in-law and I ran several metres of 22mm copper down the side of a house, mostly for our convenience, but also to keep the cost down for the customer, who immediately painted it black to disguise it, but there was an attempt to snatch it from the wall in only a few weeks. Luckily they didn't succeed, but we later had to run the gas pipe internally at further cost to the customer.
The lesson is, it depends on where you live, how visible the pipe is to potential thieves and how valuable the pipe run looks (length and size of the pipe), as to whether you should consider running copper pipe outside.
There are other alternatives to copper, but not many people use them from what I'm aware. Mild steel barrel can still be used, but not many young domestic gas engineers would have any experience running this material, nor would they have the tools (stocks and dies) to work the material. An industrial gas engineer with domestic qualifications is more likely to be help you out with this. Mild steel would also need protecting from corrosion. Tracpipe is a special semi rigid (flexible) pipe that has come on the market that is specifically designed to run from the meter to the appliance. The unfortunate thing with this pipe is that it is yellow and stands out like a sore thumb and is quite expensive. The fittings are also expensive and regular merchants such as Travis, Plumb Centre, City Plumbing etc, don't stock it, it would need to be ordered. It is made from stainless steel, comes ready sheathed and is supposed to be quick to install, but once this is offset against the cost of the materials, I don't think you'll be saving anything and the job will be an eye sore. You can't use PE (plastic) pipe unless it is underground and upstream of the emergency control valve, so that's out of the equation.
The choice is yours, but my advice would be to stick to copper and keep external runs to a minimum, even if it mean a little more inconvenience indoors than you originally anticipated.