You need to understand what does copy(cell._style) does to understand that exception. Behind the scenes each openpyxl workbook has protected attributes for different styles. For example the attribute _alignments will hold a list with the alignments in the workbook, such as these:

_style is a list that only refers to the mentioned attributes by their index, as such:

So, lets take for example a workbook with no alignment styles applied. in that case the _alignments list attribute of the workbook will have only 1 item which is the defualt (empty) alignment so:

len(new_workbook._alignments) == 1

When you copy(cell._style) to the new workbook it tries to get its new style by reffering to the protected attributes styles (alignments, borders, etc.). But, as the new workbook has no styles the reference _alignment[1] will raise an IndexError as the new workbook list has only one item on that list, the default one (which is stored in _alignments[0]).

Your initial approach is the correct one. If you are copying to a new workbook you should iterate over the cells of the sheet copying the value and then the individual styles:

from openpyxl import load_workbook, Workbook
from copy import copy

original_wb = load_workbook('example.xlsx')
original_sheet = original_wb['Sheet1']

new_wb = Workbook()
new_ws = new_wb.active

for row in original_sheet.rows:
    for cell in row:
        new_ws[cell.coordinate] = cell.value
        new_cell = new_ws[cell.coordinate]

        if cell.has_style:
            new_cell.font = copy(cell.font)
            new_cell.border = copy(cell.border)
            new_cell.fill = copy(cell.fill)
            new_cell.number_format = copy(cell.number_format)
            new_cell.protection = copy(cell.protection)
            new_cell.alignment = copy(cell.alignment)

new_wb.save('new.xlsx')

The _style method will not work when trying to copy to a new workbook and is not necessary within the same workbook as you can use workbook.copy_worksheet(documentation).