Photodiode almost no mV at analog port
You have a datasheet that references two different versions with different responses, nevertheless back of envelope calculations are...

Your photodiode (datasheet references two) has a 6.3uA or 13uA typical Isc at 100Lux.  6.3uA*40K= 252mV, 13uA*40K=520mV.
So no major surprise there...  

This doesn't take into account your light source spectrum which will modify these values (see the spectral response curve).  

If you want higher voltages, you will need some amplification (plenty of info on "photodiode amplifier") to get you started.