This could fail for very simple reasons if you don't control the cardinality of your structures. Suppose without loss of generality that the set of even numbers is in your ultrafilter.
Let the structures in question be just pure sets, and for all $n$, $A_{2n}$ is countably infinite, while $A_{2n+1}$ has cardinality greater than continuum. This sequence satisfies your assumptions, but the ultraproduct has cardinality at most continuum (it's a quotient of the product of all $A_{2n}$), so it can't contain a copy of any $A_{2n+1}$.
More generally, your assumption is essenetially equivalent to saying that all $A_n$ are elementarily equivalent: if this is the case, you can just pick an infinite set which is not in $D$ and put there structures into which all preceding $A_i$'s all embed, without changing the other $A_i$ -- this will not change the ultraproduct, as you only modify a $D$-small set, but will yield your assumption.
This is enough if all $A_i$ are countable: the ultraproduct will be $\omega$-saturated, which allows a recursive construction of an embedding (by extending finite partial elementary functions), but for general structures it's doubtful, even if you do somehow control the cardinality.
What you want will hold if you assume that the set $p$ of witnesses is large, so for any $i$ and for almost all $p$ (it can be just $D$-almost-all, though of course cofinitely many is good enough) we have $A_i\preceq A_p$, and obviously you don't need $j$ for this one, and the proof should be straightforward.