The royal bridesmaid was due to attend the Square Mile Masked Ball on November 25 and organisers had even put her name on a press release about the event at the Royal Courts of Justice.
But they have since told HELLO! that she will not be present.
A source also revealed she also failed to attend another London event last month as she was “not in a good way” emotionally.
Pippa has reportedly turned to her big sister Kate for support.
The Sun quoted a source saying: “Pippa tried to get over the split by spending last weekend with Wills and Kate at Balmoral.
“She and Alex split briefly in the summer – but this time it’s over.
“They are barely speaking.”
The newspaper also reported that Old Etonian Alex, who became friends with Prince William during his time at the prestigious school, was unable to cope with the media attention surrounding Pippa after the royal wedding.
She became one of the world’s most famous women overnight and the ‘Pippa effect’ has gone global.
Read the full story in this week's issue of HELLO! magazine, issue 1201.
Pippa and the city slicker: The romance everyone's talking about