"Come" is actually part of a verb phrase in the example from O. Henry's story. The combination of a "be" verb and "come" is called an unaccusative intransitive verb. Even though that term is a mouthful, it is not essential that you remember it because it is an archaic construction. This is most likely why you had difficulty categorizing it and why it might sound strange to most readers. Bible references (from King James and older translations) use the phrase, as well as older hymns and works of fiction. O. Henry most likely uses it in "The Cop and The Anthem" because he gives Soapy elevated diction, and the phrase "was come" certainly possesses a formal tone.