Dear Bratch:
No, the high-capacity double-stack magazines for the full-size SIG-Sauer P226 doesn't fit the SIG-Sauer P239, as the latter is a very compact, single-stack pistol design (mainly for concealed carry purposes).
I'd guess, the P226 mags work in the slightly more compact P228/229 that utilize basically the same frame, albeit shorter (about 1 cm), altough they'll stick out from the bottom somewhat. The double-stack SIG-Sauer pistols are relatively "fat" handguns and I believe it's almost as easy to carry the full-size P226 instead of P228/229 compact models.
Then there are the single-stack SIG-Sauer models P220 and 225. The former is also a full-size service pistol (similar in size to the P226) that's most common in .45 ACP-chambering, although they can be encountered in .38 Super, 9 mm Luger and 9x21 mm, too. In Europe, the P220 is rather common with "European-style" magazine release located on the rear bottom of the magazine well (I believe the Swiss army still uses this SIG model in cal. 9 mm Luger in addition to their old but well-respected P210). The "Americanized" version of P220 utilizes the magazine release button on left side of the frame.
The SIG-Sauer P225 is a compact version of the P220 that was originally developed for the German police pistol trials in the late '70s. It features the magazine release on the side of the frame. As far as I know, the P220 and P225 use different magazines that don't interchange.
The SIG P210 is an expensive, finely crafted, all-steel service pistol with single-action trigger featuring a slimmer frame w/single-stack magazine. It's typically chambered for the 9 mm Luger round. Some are available in cal. 7,65 mm Parabellum (= the former Swiss military handgun round), too. The P210's durability, accuracy and reliability are legendary. Some shooters still argue that the P210 the best 9 mm pistol ever made.
All of the aforesaid pistols incl. the P239 are fine sidearms, though. Of course, there are specialized versions (IDPA, IPSC Production or Bullseye competiton) of almost all SIG pistols available, too. Certainly you should take a look at them before you make you final choice.
Kind Regards!