I have a SIG P239 in 9mm. When I called Kramer Leather to order a holster they advised me that their holster would fit ONLY the 9mm version of the P239. This may imply that the .40S&W and .357SIG versions have thicker frames and therefore your idea of converting to 9mm may not work.
Even IF conversion is possible as related to magazines, etc., you would need a complete 9mm slide assembly & barrel. The 9mm case head has different dimensions than the .40S&W. As you probably know the .357SIG is really a necked down version of the .40S&W, therefore converting from the .40S&W to the .357SIG is a simple matter of changing the barrel and maybe recoil spring. If one decided to go that route use special care that you don't attempt to fire a .357SIG in a .40S&W barrel as it would be potentially very dangerous (ruptured case).
In closing, I carry my P239 - 9mm in my attache case daily. It replaced my .45 Colt
Combat Commander which has been demoted to "house gun" duties.
Now, I'll let the real SIG experts answer your question.
