The 9mm receiver and .40 caliber receiver are different. The .40 caliber has an indentation for the bolt hold open mechanism. So I'd think the 9mm receiver would to be modified for that or change the magwell of a .40 caliber receiver for 9mm magwell. Also either the gun would need to be adapted to Colt 9mm mags (because that 9mm mag has a bolt hold open activation device), or each HK style 9mm mag would need to be modified to add a bolt hold open activation device. Could it be done? Of course it could. But finding a smith capable of doing it with the time to devote to the development and finding enough funding to do it? If you remember the gun having a bolt hold open feature, then I'd think you shot a MP5-40. Or you don't remember the experience exactly and the 9mm gun didn't hold the bolt open after the last round fired. Either way, could that feature be added to or built into a 9mm MP5 clone? Absolutely, but unless a competent builder that wanted to do it and enough money to pay for the development, I doubt if it would ever be done.
Scott