A less "foolish" ending to the Gift of the Magi would be for a third party to enter the plot as if by magic, and solve their problems in a sort of fantastic way. Since it is fiction (like the previous poster stated), you have creative license to add detail to the plot. However, as a lover of magical realism, I would have given special powers, or perhaps even create a unique event such as a sudden meteor shower (A La Scarlet Letter) that would cause a miraculous event to take place at the apartment such as discovering that the gift he gave her used to belong to a queen and its made of diamonds. Then then would be rich and not do that giving nonsense again.
Of course, since this is fiction, you can have any ending you want to the story. You just have to decide what point you are trying to make in the story. O. Henry has it end the way he does because he wants to discuss the nature of true love and he wants his characters to show what people do when they are truly in love.
But if you wanted to show that love and life and all of that is futile, you could have space aliens destroy the city just as Jim and Della come to deal with what they have done.
Perhaps more plausibly, you could have one of the two of them be horrified at what the other has done. You could have them be angry that the other has spoiled the gift that they sacrificed for. This would show them in a much more negative light and would suggest that people are inherently selfish.
So you really need to just decide what message you want the story to send and then think of an ending that would convey that message.