There isn’t a build on PyPI yet for Python 3.9, so pip is trying to build wxPython for you. If you get the source archive for the latest release and work through the build steps manually, without pip, then you might get more info about what is needed to make it work. OTOH, as far as I know there hasn’t been any testing of 4.1.0 with 3.9. I had to make some changes to get things working better in the current dev version.
On the gripping hand, you can get binary wheels for Python 3.9 from our snapshot builds here and save yourself a lot of work.