There were suicides, and at least one very well publicized suicide of a businessman who did jump out the window to his death (though in midtown, not Wall Street) -- but most chose other means. I can find only one reference to an identifiable person who jumped out a window because of stock market losses in the fall of 1929:

$124,000 STOCK LOSER JUMPS TO HIS DEATH; W.J. Keyes, Earl Radio Official, Despondent After Unfavorable Operations in Market.

Warren J. Keyes, vice president of the Earl Radio Corporation of 122 East Forty-second Street, leaped to his death from the window of his room on the eleventh floor at the Hotel Shelton, Forty-ninth Street and Lexington Avenue, early yesterday morning.

. . . but that seems to be it for "jumpers" -- though others did shoot themselves and die in other ways. But something about the jumping really caught the public's imagination-- its a kind of morbid counterpoint to a Wall Street ticker tape parade, I guess. So it became a widespread idea, even if it didn't happen much

The impression you have likely comes from a newspaper column by Will Rogers -- a humorist of the time, if you don't know him- who joked

When Wall Street took that tail spin, you had to stand in line to get a window to jump out of, and speculators were selling space for bodies in the East River.

Oct. 24, 1929 Will Rogers syndicated column

There's some truth to the popular impression -- suicide rates did go up, but not a lot, and not in every year. In the years of the worst unemployment, there was a noticeable increase in suicides:

[S]uicides increased during the Great Depression. Suicide mortality peaked with unemployment, in the most recessionary years, 1921, 1932, and 1938

. . . but interestingly, the overall health of the population seemed to improve.

Analysis of various indicators of population health shows that population health did not decline and indeed improved during the Great Depression of 1930-1933. During this period, mortality decreased for almost all ages, and gains of several years in life expectancy were observed for males, females, whites and nonwhites-with the latter group being the group that most benefited. For most age groups, mortality tended to peak-over and above its long-term trend-during years of strong economic expansion (such as 1923, 1926, 1929, and 1936-1937). In contrast, the deep recessions of 1921, 1930-1933, and 1938 coincided with generalized declines in mortality rates and peaks in life expectancy. The only exception to this general pattern was suicide mortality, which increased during the Great Depression, but suicides account for less than 2% of all deaths. Overall, our results show that years of strong economic growth are associated with either worsening health or with a slowing of secular improvements in health.

Few if any studies have specifically focused on the evolution of population health during the Great Depression in the United States. Researchers contemporary to the Great Depression observed that mortality had increased during the 1920s and decreased in the early 1930s . They also noted with puzzlement that infant and tuberculosis mortality declined between 1929 to 1933, when the economy was in shambles, although there was also evidence of increased malnutrition among low-income groups and increases in infant mortality in some areas with very high unemployment. Our work documents that population health did not decline on average during the Great Depression in the U.S

[see "Life and Death during the Great Depression", reference at the end of this answer]

Its important to distinguish "The Crash" from "The Depression". The stock market crash was in October of 1929; at first there wasn't much impact on the actual economy and business conditions. 1930 saw an economic contraction, but not a disastrous one; the unemployment rate for the year (measured quite differently than we do today) was only %8.7-- not great, but not a disaster if that's as high as it went. But it went much, much higher-- reaching roughly %25 by 1933 -- and that _is_ bad.

A series of policy mistakes -- both in the US and abroad-- lead to a collapse of the financial system, with waves of deflation, bank failures, liquidations of debt driving consumer confidence and business activity ever lower, and unemployment ever higher.

So "The Crash" and "The Depression" = different things. They're linked, but not the same.

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Sources:

Life and Death during the Great Depression

Unemployment Rate by Year Since 1929 Compared to Inflation and GDP

New York Times Archives, Warren Keyes obituary

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