Hi Blackburied,
Excel Online is the light version of Excel. Differing from the Excel desktop application, some features cannot supported in the Excel Web App. Based on the test, we cannot copy/paste a sheet between workbooks in Excel Web App. You can copy/paste the contents in the sheet between workbooks. Sorry for any convenience caused.
You can also read more information about the differences between using a workbook in the browser and in Excel:
http://office.microsoft.com/en-us/sharepoint-server-help/differences-between-using-a-workbook-in-the-browser-and-in-excel-HA010369179.aspx#_Functions
Thanks,
Elaine Hao