1. I presume your level is actually at Level 39? 2. Have you completed all the previous level quests along the way, or at least built the main buildings for each level quest? If not, then it won't...
I'd guess you need the court house completed since i am at level 39 but have not built it and sanjay hasn't triggered here either. You could try that but the wiki must have it listed if you'd like to be certain.
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