We report on the synthesis and temperature-dependent magnetic properties observed in an exchange-coupled copper(II) dimer using X/Q-band Electron Paramagnetic Resonance (EPR) spectroscopy (9/34 GHz). It has been found that the zero-field splitting (D) in the dimer changes gradually by a factor close to two in the temperature range from T = 50 to 300 K. X-ray diffraction data show that this dimer consists of two five-coordinated copper ions, one of which has a highly asymmetric geometry intermediate between square pyramid and trigonal bipyramid. The copper-copper distance in the dimer is temperature-independent, whereas the degree of trigonality in an asymmetric unit decreases as the temperature is lowered. Therefore we suppose that the observed dependence D(T) originates from the interplay of different exchange interaction pathways driven by these thermal changes. Magnetic susceptibility measurements reveal weak ferromagnetic interactions, whose anisotropic parts should indeed be very sensitive to the subtle changes in the geometry and may result in apparent D(T). Apart from being a very unusual example of magneto-structural correlations, this and similar dimeric systems can be considered as an interesting type of new materials exhibiting strongly temperature-dependent magnetic properties.