Is it possible to convert a P226 legion from 9mm to .40 S&W?

With a completely different slide, yes. Barrel swap only, no.

Yes, my understanding from when I did a caliber change with a 229 using a Bar-sto barrel, you could convert .40 to 9 mm but not the other way round.

9mm can fit a breech face sized for .40 and the extractor can usually function.

But .40 cannot fit a 9mm breech face.