If I understand you correctly, you’re trying to set both the Python tag and the ABI tag with --python-tag cp39-cp39? If so, I think the correct flag for setting the ABI tag with bdist_wheel is --py-limited-api:
$ python3 setup.py bdist_wheel --plat-name=manylinux2010_x86_64 --python-tag cp39 --py-limited-api cp39
Do note by the way that running setup.py scripts directly is deprecated. The modern replacement for that is the build frontend. I’m not sure if build supports manually specifying wheel tags from the CLI, but you can at least update the tags after building using wheel tags.
See also