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There is no compatibility issue the Intel® Wireless-AC 9260 and the Intel Atom® x5-E3940 Processor, the compatibility has to be confirmed with the motherboard Original Equipment Manufacturer (OEM) to confirm if the adapter is supported, in addition, you have to take in consideration the Regulatory Information Regarding Wireless Hardware Installation or Upgrade (https://www.intel.com/content/www/us/en/support/articles/000005687/network-and-i-o/wireless-networki...).
I am noticing that the Intel Atom® x5-E3940 Processor (https://ark.intel.com/content/www/us/en/ark/products/96485/intel-atom-x5-e3940-processor-2m-cache-up...) is an Embedded product you can refer to our Intel® Embedded community (https://forums.intel.com/s/topic/0TO0P00000018NJWAY/embedded-xeon) for more details about these products.
Intel Customer Support Technician
A Contingent Worker at Intel