The research I've seen was done on rats in the 1950's and 1960's and showed an effect on T4. DNP increased biliary and fecal excretion of T4, and increased the deiodination of T4. Whether it deiodinated T4 to T3 or RT3 or both, I can't recall. DNP also displaced thyroid hormone from its binding proteins and that could lower the total hormone concentration in serum. DNP was also shown to depress thyroidal radioactive iodine uptake and secretion.
Also, since T4 in vitro has also been shown to uncouple oxidative phosphorylation, it's possible that DNP is able to mimic the action of thyroid hormone on the hypothalamus or pituitary.
The first two citations link directly to the full text. For the other two, I don't even have access to the abstracts at the moment.
http://onlinelibrary.wiley.com/doi/10.1113/jphysiol.1961.sp006788/pdf
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC292505/