Because of a discussion here not that long ago I dug my Speed Six out of the safe and ran a cylinder full of 9mm through it without a moon clip. My guess is that many/most revolvers in 9mm would fire fine without a moon clip although ejection of the empties is probably on the edge of being a chore.
There was the Smith and Wesson 547 that did not use moon clips and instead had little finger type things that helped to eject the spent casing.
With the prices of the 940s ( let alone the 547) if I really wanted a small 9mm revolver I would probably get a Model 60 and have one of a couple places do the cylinder.
http://www.tkcustom.com/content/machine.asp
I have thought about doing it off and on but whenever I think about it finding a Model 60 at a good price is impossible for a day or three and then I sort of loose interest/get distracted. Because I do not want to donate my current Model 60 to end up with something that might be much more finicky. But a small 9mm revolver does seem to have a certain Bohemian charm.
But I think the Shield is fair substitute a bit thinner but admittedly bigger in outside dimensions and another round or two.