These solid .22 slugs from H&N are 25 grains, a 40 grain bullet would need to be something you might fire in a .22 Hornet centrefire.
https://www.hn-sport.de/en/air-gun-h...t-magnum-II-22
Unless your airgun is doing 80fpe plus then probably 25 grain would be better, if you really need more weight then the more efficient .25 calibre is the way to go with a PCP and use the 36 grain slugs like this
https://www.hn-sport.de/en/air-gun-h...lug-HP-25-36gr
I'm not sure if a copper jacket would work in an airgun but here are some 40 grain bullets made for the .22 Hornet centrefire cartridge. You could experiment with them at the risk of damaging your rifle, the trajectory will be loopy even if they do work.
https://www.sportsmanguncentre.co.uk...0-bullet-heads
Cheapest way to hit something with a 40 grain projectile is a .22 rimfire bolt action, nice secondhand ones available for a couple hundred pounds.