While heat appears likely with your example, this color can also occur through environmental exposure. I have found nickels in browns, yellows, reds, blues, greens, and several other colors.
The soil in my area generally turns nickels red. I suspect that it leaches out some the nickle, exposing more of the copper. Only the war nickels and newer coins come out looking silvery here.
It looks like a dug nickel, that then was cleaned with steel wool. Cool pocket change find, it is hard to find any nickels old than the mid 1950's. Also, the 1939d is rarer, did you check for mint mark?