Lots of changeable factors here, but...I doubt there would be a great deal of difference in penetration even though copper has roughly three times the hardness of the hardest cast bullet (about thirty BHN). I suppose it would depend on how thick the jacket covering is on the FMJ bullet. The thicker it is, the less distortion there would be if it hit a hard object.
With regard to a thirty BHN cast bullet (that's hard, but I don't know if there is a defining BHN for "hard cast"), these could be made by those who cast their own bullets, but I don't know if commercial casters make bullets that hard. It seems there would be little demand.
With a very hard bullet, I'd be concerned with the bullet shattering, but that's speculation. I've seen bullets cast from a mixture slightly below the hardness of linotype (around 22 BHN) partially shatter when fired through thicknesses of paper after penetrating no more than 8'' to 10". However, that's from memory but should be fairly close.
Heat treating a bullet with more than the usual amount of tin in the mix should make the bullet less susceptible to shattering. I haven't heat-treated bullets in a long time and never found an advantage to the process for my purposes.
Regardless, you might find a softer bullet with adequate tin in the mix and a BHN in the 15 -16 range might penetrate better and hold together better than a truly hard one.
There seems to be an Internet fascination with "hard cast bullets" these days. I don't know where this started and don't deny that they may serve some usefulness (again speculation) in some situations, but I can't imagine what the situations might be.
I've never found an advantage to using a jacketed bullet over a well-fitted cast bullet of the proper alloy for the load in any handgun cartridge, but exceptions may exist.