"Does anyone make a decent 9mm wadcutter round for a S&W 940?"
Yeah. You could. And it's easy. And it's fun.

If you're just wanting a fairly small quantity of loads I would highly recommend one of these, that is if you don't already reload:

Lee Precision, Inc.. Classic Lee Loader

A Lee Loader, a pound of powder, several hundred primers, and a box of boolits should land a person in Funsville for quite some time.

Since it's a revolver you could apply a heavy crimp. And you could pick from any number of available projectiles.
This is a classic example of why people reload. You're wanting something that isn't commonly commercially available.