Pepper spray is not illegal in NYC. The places to buy them are limited (specific sellers), the size of the canister is limited (pocket sized only), and the laws around using it are strict (self defense only where physical force would be justified).

In Manhattan for example you can buy pepper spray at certain pharmacies including ESCO in midtown (https://www.escopharmacy.com/).

Legal: https://www.nysenate.gov/legislation/laws/PEN/265.20