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So I am writing a letter of continued interested to a school I was waitlisted at; is it proper to include a statement about wanting to work in the state it's in because they place most of their graduates there? (it's new york)

You can mention it, but I doubt it'd move the needle if by "New York" you mean NYC, the largest legal market in North America. It's different if by "New York" you mean you have a specific interest in practicing upstate, and the school in question is located upstate. In that case a desire to work in, say, Buffalo or Albany would be helpful to note in a LOCI.