I've thought that was weird myself. I can think of a good reason they wouldn't make one however.
First, the least popular XD size seems to be the subcompact. Now they are out there, but even people like me who very much like the Service and Tactical models don't really care for the subcompact. I have handled one and it was neat but it didn't feel very compact with the finger extension on the magazine, and I don't care for 2 finger grips. It's too large to pocket carry, so I quite frankly don't have a use for it myself. I think a lot of us are in that boat. It's not like the Glock subcompacts where it's meaningfully smaller than the service sized model.
In all the calibers in comes in, the .357 SIG is probably the second least popular. By far, every XD I've seen save for one other person I've met who also had an XD40 was chambered in 9x19. You'll notice there's not a subcompact in .45 GAP either although this should technically be possible.
Basically if you were to offer the subcompact in .357 SIG, you'd have something you wouldn't sell in any meaningful quantity. You know people will buy 9x19, so you chamber it in that and your other choices are .40S&W, 357 SIG and 45 GAP. Well I'd pick .40 S&W too, because that way you have something to offer people who want something a notch above 9x19.
The other thing is, the XD has not yet reached the height of popularity that something like the Glock, Ruger P series, or the Sig has. While its market support is excellent, it just isn't made or sold in the huge quantities as these other pistols.
There could be a technical reason I'm not thinking of, but from the manufacturer's standpoint I can see the justification of the product line's offerings. Don't forget they're actually made in Croatia. The facility there may just have limited manufacturing capabilities and making the subcompact in 357 SIG might mean having to stop making another model that's a better seller.
QKShooter posted a link some time ago to some quality conversion barrels. I don't remember if they included the right size for a subcompact.
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