The frame/slide is different for the P239 9MM model and the .357/.40 model.
For some unknown reason SIG has chosen to make 2 versions of the P239. Silly of them, really.
As has been stated before, the 9MM shall remain so forever. The .357/.40 can readily change between the 2 and can even go down to a 9MM with a conversion barrel. Bar-Sto Precision Machine makes a lovely barrel for just such an application.
Please keep in mind that the magzines are not all interchangeable. The .40 magazine should work with all 3 calibers, while the .357 should work also with 9MM.
Wm.