The response that I got from the Mint was that the non-magnetic pennies are copper plated zinc but that can't be because I could not melt it while I can easily melt 1 cent US coins which do in fact have zinc.
The only copper plated zinc Canadian 1 cent are from 1997 to 1999 and I can melt these as well.
Yggdrasil must be correct about these being non-mag steel.
Here is the response I got from the Mint.
"June 4, 2010
I acknowledge your email of May 30, 2010 inquiring about the composition of Canadian one-cent coins.
Since 2000, one-cent coins have been composed of 94% steel, 1.5% nickel and 4.5% copper plating or copper
plated zinc. Coins containing zinc are actually not magnetic while those containing copper plating are. In 2009,
the Mint produced 36,575,000 one-cent coins containing copper-plated zinc and 419,105,000 one-cent pieces
containing copper plating.
I hope you find this information helpful. Thank you for your interest in the Royal Canadian Mint.
Just for your info.