This video https://www.youtube.com/watch?v=Qew23bex13k showed Sarajevo in 1939 and I was shocked to see that it looked like something you'd expect on a book of the Ottoman empire, not something in almost 1940's Europe. By that time, from what I've researched, Turkey had adopted a more Western style of dress so why did it continue in the Balkans? Also when did it eventually go out of style in the Balkans as well?
The Ottoman fashion went out of style as soon as the Balkanic countries of the 19th century were formed. The countries put a lot of effort in westernization and reviving old traditions (see Byzantine Revival for example) in order to eliminate Ottoman influences. However, Bosnia and Herzegovina remained in the Ottoman Empire until 1908 (at least formally) and weren't exactly liberated by Austria-Hungary by local will (moreover, Austro-Hungarian occupation in 1878 was met with fierce resistance of both Muslims and Christians).
Austria-Hungary was more interested in extracting goods from those lands (as they were a literal colony) than civilizing the Muslims. Moreover, the Muslims were seen as useful instrument against Serbian and Croatian aspirations. Therefore, the colonial administration had little reason to try and change the society.
After the WWI, Bosnia and Herzegovina became part of the Kingdom of the Serbs, Croats and Slovenes (later renamed to Yugoslavia). One of the first goals the new regime has proclaimed was the agrarian reform (practically ending what many would call feudalism), in the interest of modernization efforts. However, feeling that such efforts would cause additional destabilization to already unstable country, the regime decided to undertake this reform only partially and with many deviations. Even such limited reform caused instability.
The only change ensued with the Communist regime.
As for Turkey, the change of society came with Ataturk, but there were earlier attempts of the Young Turk regime.