If made commercially it will come with the relevant paperwork and markings the manufacturer needs supply, but it will still need the club-level Written Scheme of Examination. hydraulic test and steam-accumulation test, if you intend using it in public, including club events.
If you build a copper boiler to a published plan and have it tested by a model-engineering society (of which you need be member) under the MELG scheme, the paperwork will be generated by the club's boiler-inspector, who may want to admire your workmanship at stages of its construction. You will not need material certificates for it – those apply to welded steel boilers.
If your own design the boiler-inspector will probably ask to examine the design and calculations, and club boiler-testers are free to decline to test an unfamiliar boiler outside of their experience. By that I mean the basic structure of the whole thing, not simply adapting a proven design by altering the barrel length a bit, thickening (not thinning!) the side-plates or moving the position of a fitting.
(The barrel's pressure-strength is a function of diameter not length, but I'd ask if significantly extending a traction-engine's boiler, which is also the vehicle's chassis, would increase the cantilevering stresses on the firebox.
One of my own club's boiler-testers has just advised us that after Brexit, the CE marking will be replaced by a different name, but as far as known the processes won't change.