A devastating performance from Rovers set up an all Yorkshire play-off final against Leeds United at Wembley on May 25 as, after a goalless first leg, the floodgates opened at the Keepmoat Stadium.
But the first chance of the game fell to Southend with James Walker heading against the post from a Simon Francis right-wing cross in the eighth minute.
Walker should have scored and he would soon have cause for regret as the rest of the game belonged to Doncaster.
They snatched the lead from the penalty spot in the 11th minute after Peter Clarke had brought down Jason Price from behind.
Brian Stock stepped up and sent Darryl Flahavan the wrong way with the spot-kick crossing the line inside the keeper's left-hand post.
Rovers made it 2-0 nine minutes later following an excellent move which resulted in Paul Green heading a right-wing cross from James Hayter across the face of the goal where visiting skipper Adam Barrett had the misfortune to bundle into his own net under pressure from Price.
Nicky Bailey hit a shot on the turn just wide in the 38th minute before Coppinger grabbed his first a minute later.
A dazzling mazy run took him past several defenders before he slotted the ball inside the far post.
Rovers stayed in command after the interval and Coppinger made it 4-0 when he jinked through before hitting a cracking left-foot shot into the bottom corner in the 52nd minute.
Southend battled all the way but could not prevent the outstanding Coppinger from completing his hat-trick in the 80th minute with a magnificent curling shot into the top corner following a 20-yard free-kick.
The Shrimpers were given terrific support by their 2,000-odd following and the away fans finally had something to cheer when Bailey grabbed a consolation with a close-range shot on the turn two minutes from time.
But the night belonged to Doncaster and the players were mobbed as jubilant fans invaded the pitch at the final whistle.