Can anyone help with an Ultrasonic Transducer Transformer design. Air gap or no?
The air gap is for energy storage, i.e. used mostly in flyback converters (where it's used as two inductor on the same core, not as a transformer).
For ultrasonic transducers you are actually looking at an impedance matching transformer (and you usually have to match it to the transducer for best efficiency, too!).
Consider that the piezo transducer is essentially a capacitor at resonance (and near resonance it has an RLC resonant equivalent model); the specs are hopefully declared by the manufacturer or you can measure them yourself. Also many transducer manufacturers also gives specifications for useful drive transformers (some directly sell them!)
40kHz is too much for an iron core (except special laminates, maybe) so you'll probably want to use a ferrite core. Size it for power handling (usually the core datasheets gives a starting idea of the power handling) and then determine the number of spires to avoid saturating the core itself. Usual transformer design really, at least for the first tries. Lots of documentation on the web too (search for 'ferrite transformer design' and similar things).
Ideally you'll want to have the impedance seen from the secondary matching to the transducer one (maximum power transfer law in AC: complex conjugate impedance) but it's almost impossible to compute that before building the transformer.