Wheelweights won't be soft enough to expand. I've seen 357 mag HPs cast in WW that wouldn't expand. Consider buying 20:1 or 40:1 lead/tin alloy for this application to get your alloy bhn down below 10. If you're going subsonic, the 40:1 is probably a better bet, especially if you powder coat. I do recommend powder coating if you plan to shoot these indoors, wax and tumble lube type lubricants are really smoky, especially if you plan on using Titegroup, which is plenty smoky without adding bullet lube smoke to the situation. NOE is really suffering with most HP design availability, but MP does have a few designs available in 9mm.
ETA- 20:1 & 40:1 alloys are available through Buffalo Arms, and Rotometals. If you can find a source for stick on WWs, the one that look like a strip of lead (and are), they should probably work okay. A lot of the "soft" lead ingots sold on ebay aren't really that soft at all, many appear to be range scrap instead of pure. With range scrap, you don't really know what you're getting unless you have a way to test it for hardness.