According to the US Mint website, a US nickel is an alloy composed of 25% Nickel (specific heat 0.105 Cal/(g deg. C) and 75% copper (sp. heat = 0.092). A penny is made of zinc that is copper plated. If you look up the specific heat of zinc (0.0915) you can compare it with the alloy and it looks to me like the nickel/copper alloy has a slightly higher specific heat.
NOTE: according to officials at the US mint, the new 2004 American nickel has the same 75% copper/25% nickel composition as previous nickels.