Whether you would easily determine this using Western Blotting would very much depend on your protein. You need to provide more information. What is your protein of interest, what is the splice variant, what is the species, do you have accession numbers (preferably NCBI ones), were you using denaturing SDS-PAGE gels, do you have any information on the functional difference between the splice varients.
Briefly from what you have given me though, have you checked that the different between the two mRNAs is in the ORF and not in one of the UTRs? If a UTR is all that is being spliced, your protein size will be the same in both variant but your mRNA will be different.
Also, unless there is quite a bit of difference between the variants (at least a Kda or two), you might find that it is hard to separate them using SDS-PAGE unless you use very high or very low % gels. If the kDa is middling, you'll find them even harder to separate. Protein folding should not be an issue if you are using denaturing gels.
Have you checked the epitope that your Western Blotting antibody was raised against? If you are using a monoclonal, or a polyclonal raised against a peptide instead of whole molecule, you might find that your antibody epitope does not exist in your splice variant and that's why you don't see it.
If this does not help, come back with more info and I'll have a better look at it