Pumpernickel is a bread made from rye which is not commonly found in the Middle East, though mentioned in the Torah. Its more common in Europe down into Turkey. Pumpernickel itself is a bread from the Westphalian region of Germany. The word itself is translated as Old Nick's fart, Old Nick being the devil. This is believed to be due to it being hard to digest.

The last supper occurred during Passover. The Jews were to eat unleavened bread during the Passover meal. Exodus 12:20 states in the NIV version:

"Eat nothing made with yeast. Wherever you live, you must eat unleavened bread."

Now pumpernickel itself is commonly an unleavened bread but that does not mean it was a bread used at the last supper. Most likely it was Matzah. Wikipedia (forgive the reference! ) says:

"At the Passover seder, it is customary to eat matzah made of flour and water; matzah containing eggs, wine, or fruit juice in addition to water is not considered acceptable for use at the seder. The flour can be made from the five grains mentioned in the Torah: wheat, barley, spelt, rye and oats."