I've seen this a lot with American ballasts that they overdrives 35W CMH lamps at 39W. Why is this?

They do not overdrive them. Many "35W" MH's are actually designed to run at real 39W (have higher arc voltage than the "35W" would imply)

So why outside the US, the ballast states 35W and not like the US?

Because that was the original rating with the 77V arctube. But if the arc voltage becomes higher (90V or so), the same ballast delivers then the 39W to the lamp.
You should treat the "power rating" (along with the generic tube designation) more as a ballast designation, to guide for ballast vs lamp compatibility, not that much as the true power figure.
So "MH35W ballast" will be compatible with "35W MH lamp", even when the real power could be either 35W or 39W (or practically anything between; the 35 and 39 are the most common power figures, given what the lamp concept is used behind; depends on how stable is the arc voltage vs lamp wear and temperature variations), all would be labeled as "MH 35W"

Am I right that in the conclusion that the 39W lamps are driven on electronic ballasts while the 35W runs on both? Magnetic and electronic?

Both could be designed to run on both styles, provided the lamp is rated for that ballast style...

It is true, the electronic ballast offers better arc control (thermal stability, protection,...), so they may afford to run the lamp close to its limits without actually compromising it inn any way (so at 39 instead of 35W). Because on magnetic ballast, if the lamp is of a strong "saturated vapor behavior" (so arc voltage rises strongly with temperature), its real power on a magnetic ballast could be 35W when new, but will rise to (or beyond) 39W as the lamp is aging. So with that the lamp then has to be designed to handle the 39W without any problems. But as the electronic can easily maintain the power exactly where programmed, it can directly operate it at the 39W the lamp has to be designed for anyway.