I don't think it's illegal, I was asked that by someone at my home program.what do you say when your interviewer wants to know where else you interviewed? do you just name all of the programs you have interviewed at? there seems to be no way around it, but to answer it.
I too hate this question... So far I have listed where I have interviewed and then if they want more info I tell them where I will be interviewing in January, along with the comment that more would be nice (seems to get a smile most of the time).