Initially the AFR will go up or down according to a fuel pressure change, but the computer will compensate and put them right back where they were originally. Don't ever expect that you can tune fuel pressure on a dyno.
You can, however, figure out what air/fuel ratio your car runs best at by resetting the computer between each fuel pressure change.
Here's a way you can do that.
Set your fuel pressure to 40 PSI. Reset your computer and then run it on the dyno. Hopefully it will be a bit rich initially. 12:1 or so.
Drop the pressure 2 PSI, reset the computer and do another run. Keep doing this until you get your best run and then at this point you will have a good idea as to what your optimal AFR is. Set your fuel pressure back up to 39 psi before you leave. Oh, and use your 24# injectors.
Once you have your optimal AFR, contact a chip manufacturer and tell them what you want your AFR to be and then they can burn a chip.
What it all boils down to is that the O2 sensors are used to determine how much fuel the computer will use in order to maintain its factory set AFR. If you lower the fuel pressure, yes, the AFR will go up, but then the computer will see that as running lean and then add more fuel until it is back to the AFR that the computer wants.
From the way you described your process and what your fuel pressure is set to, I'm guessing that you lowered the pressure in increments and each time the AFR went up a little, but then by the time you ran on the dyno, the computer compensated somewhat, but not completely. If your fuel pressure was set at 39 psi and you were driving around town for a few hours and then went to the dyno and dropped it to 28psi, I bet you would see a big jump in the AFR.
There is some potential wiggle room for tweaking the fuel pressure, but I won't get into that unless you're interested.
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351W 89 Mustang GT Convertible