The New York Times report in an article from 1996, on a then current exhibition 'Serial Publications: Essential Parts of the 19th-Century Imagination', and the Grolier Club which featured 50 books from the collection of Robert H Jackson, a Cleveland lawyer.
The report states:
For authors, serialization enabled them to revise plots so as not to disappoint readers. Mr. Jackson noted that Dickens changed the ending of "The Personal History of David Copperfield" before the final part was published "because of reader sentiment." Instead of having David remaining alone after the death of his first wife, Dora, Dickens had him marry the angelic Agnes. The reader is left believing that David lived, if not happily ever after, then at least with someone to share his troubles.
Although copies of the catalogue from this exhibition are for sale in various places online, I've not been able to find a digitised copy anywhere to see if it contains any more information or source for Jackson's assertion. Nor have I been able to track down any other reference, but it does not seem from the phrasing that Jackson believes an alternative ending was actually published.
I've searched Forster's Life of Charles Dickens, which is sometimes insightful as to Dickens' progress with works, but could find nothing relevant to Copperfield, though it does reveal that his original intention was not to kill off Little Nell in The Old Curiosity Shop, that suggestion coming from Forster, but probably too early in the process for it to count as 'changing the ending'.
He had not thought of killing her, when, about half-way through, I asked him to consider whether it did not necessarily belong even to his own conception, after taking so mere a child through such a tragedy of sorrow, to lift her also out of the commonplace of ordinary happy endings so that the gentle pure little figure and form should never change to the fancy. All that I meant he seized at once, and never turned aside from it again.