Retrieving an NA layer's sublayer is a common workflow in standalone python, and it is admittedly not obvious how to do it.
First, I will assume you're using ArcMap or 10.x Server since you're working with .lyr files. So, my response here is appropriate for ArcMap and not Pro.
The first problem is that the SelectData utility is a Model Builder utility only and should not be called from standalone python. It just doesn't work.
I think something like this will work:
layer_object = arcpy.mapping.Layer(FireStationCoverage_lyr)
polygons_sublayer = arcpy.mapping.ListLayers(layer_object, "Polygons")[0]
arcpy.management.CopyFeatures(polygons_sublayer, out_featureclass)
Note that if you switch to Pro, you can use the GetNASublayer function for a much less confusing experience. If you are doing a full Network Analyst workflow, there are actually much better and faster ways to do it in Pro using the arcpy.nax module, which eliminates the need for NA layers entirely.