The HPE Proliant DL360 gen9 will accept NVMe devices with the addition of an
HPE DL360 Gen9 NVMe 2 Solid State Drive Express Bay Enablement Kit (p/n 764628-B21) or the
HPE DL360 Gen9 6 NVMe + 4 SAS/SATA Express Bay Enablement Kit (p/n 817676-B21). This provides support for up to 2 or 6 NVMe SFF drives (HPE reference).
At time of writing there are currently eight HPE NVMe parts listed as compatible with this server, for instance the
HPE 2TB NVMe x4 Lanes Read Intensive SFF (2.5in) SCN SSD (p/n 877986-B21). These are described as having interface "NVMe" with no mention of U.2 or any other established physical interface. I interpret this to mean that the interface with the server is via the enablement kit which is a PCI x4 3.0 card. This is not U.2 and I can see no evidence that the gen9 supports U.2.
I would suggest that NVMe using an add-in card (AIC) would be a good option. Any standards-based PCI AIC could be used.