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 depleted uranium may be phased out if an alternative material proves its worth. The US Army is expected to award a contract this week for the manufacture of prototype ammunition incorporating a "liquid metal" alloy. The new rounds could be in service...
www.newscientist.com