The only depleted uranium rounds you will see are going to be from the main gun on a tank, or from tank busting aircraft, and it is not a coating, it is a penetrator.
The only possibility for this round that I can find is a disruptor round, used by EOD to knock critical components off or destroy parts of an explosive devise without detonating it. I've seen the .50 BMG ones in person, but did find .410 and .357 online. They are not meant to be fired from firearms, there is an apparatus that is used.
You honestly need to put up some pictures of this mayhem that was caused, I have some serious doubts.