I don't believe the wave is illegal anywhere in the US. The above mentioned issue with NYC is that basically DA Vance decided about 3 years ago that any folding knife that locks is a "gravity knife", which is generally prohibited in NY state. Unfortunately, a judge in NYS issued a ruling around that time that was so far from technically accurate that it's frightening, the gist of it was basically that any locking folder is a "gravity knife", so it provides case law to support the NYC actions.
Another issue with the wave is that to use it you basically have to have the knife clipped on your pocket. In NYC, a clipped knife will get you arrested for brandishing a deadly weapon. That leads to a visit to Rikers and some time spent trying not to end up the little spoon. Amusingly, in NYC you can carry a concealed fixed blade up to 4".