Lilly- I dont know much about nervousness, but the one week that I took Copaxone, I wound up in the hospital having anaphalatic shock. (sp?). I couldnt breathe...the shots to me felt like someone was breaking my arm- the pain was insane...and the reactions each night were HUGE hives, HUGE welts and shortness of breathe. When it got so bad that I was rushed to the hosptial without being able to breathe, I stopped taking Copaxone. 3 months later, I was on Rebif and have never had a problem with it.
So the side effects are there- you should probably be discussing this with your prescribing doctor as soon as you can...this isnt something you want happening to you. Besides, the epi shots are 100x bigger then the copaxone ones- and trust me, they hurt, too!

Nikki