You have most probably burnt the SIM800L module. When you powering the buck converter- LM2596, from the Arduino, you didn't account for voltage drop hence the 4.1 volts was not the regulated voltage but rather the maximum the converter could give from a 5V input. Looking at figure 8 from the LM2596 datasheet gives a roughly .9v voltage drop at 25C and 1A load

When you connected the converter to 9V voltage it produced the actual voltage it was set for and this was excessive for the SIM800 hence it blew out.

You have most probably burnt the SIM800L module. When you were powering the buck converter- LM2596, from the Arduino, you didn't account for voltage drop hence the 4.1 volts was not the regulated voltage but rather the maximum the converter could give from a 5V input. Looking at figure 8 from the LM2596 datasheet gives a roughly .9v voltage drop at 25C and 1A load

When you connected the converter to 9V voltage it produced the actual voltage it was set for and this was excessive for the SIM800 hence it blew out.