There is an alternative to depleted Uranium made from an exotic alloy of Tungsten.
Shells made from it sharpen as it hits target and it is pyrophoric (burns as it loses cohesion)
US is working on it to replace the Depleted Uranium shells. Since Tungsten is not radioactive it is safer for those that use it.
But just to have a different core would not necessarily increase the muzzle velocity of a round.
Controversial anti-tank shells tipped with DU could be phased out if a tungsten-based "liquid metal" alloy proves its worth
www.newscientist.com