I'm not too familiar with F# yet, but I suppose you can't do this, it doesn't make any sense. Discriminated Unions as it can be seen from their name are unions. They represent some kind of a choice. And you're trying to incorporate some state into it. What're you trying to achieve? What's the use case?
Perhaps everything you need is to add additional "parameter" to your DU, i.e. if you have
type DU =
| A of int
| B of string
and you want to add setter of int type, then you can extend DU in such a way:
type DU =
| A of int * int
| B of string * int
member x.Set i =
match x with
| A(a1, a2) -> A(a1, i)
| B(b1, b2) -> B(b1, i)