In most? Dunno. But I know they're legal here in WA.
I know Cali has a ban on them, and I think Florida might, though FL does have a ban on "specialty" shotgun rounds, such as bolo and dragonsbreath. My guess would be that places that have a high risk of fire year-round, such as Cali, would outlaw them, not for anti-gun purposes, but because they can start fires that cost lots of money and sometimes lives. I have no problem with saving lives and property of others by limiting something as simple as a tracer round.
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ANY incendiary and tracer rounds are illegal here in sunny Florida. We once had a forest fire around the shooting range when some young fools shot a tracer over the berm into the woods. The range was closed for two weeks.