The most plausible explanation I've heard is that after going through JFK's neck and most of Connally's chest without striking bone, it was significantly slowed down so that when it hit Connally's rib and wrist, it was with less than full force so the copper jacket held up better. Warren Commission tests on comparable bullets showed them staying relatively intact even when striking solid wood.

This is a situation, I think, where people's intuitions don't line up well the reality of full metal jacket ammunition, which by design is supposed to deform or fragment less than softer slugs.