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I have a CZ 75 P06 which is a CZ 75 compact in 40 S&W. It has a 10 round mag capacity and is about the size of the Glock 19, but all alloy metal instead of plastic. Good pistol and shoots reliably. I thought it was the best of the compact pistols I tried.

The Glocks might be a good idea, then you can get a KetTec sub2000 in 40 cal with several 22 round stick magas. Fits nicely in a little gym bag.

As far as 40 cal goes, I tried for a while to find a 40 cal pistol I liked, but the recoil of the 40 bothers me. I have since decided that I will stay with 9 mm for capacity or go with 45 for power. Hard to beat the Springfield XDm 9mm with the 19 round magazine.