I agree, it is not illegal unless there is a court order saying she can not do so.
If the circumstances are such that you think you can show she has intent to permanently deprive you of access to your kids then you might have something law enforcement will look in to, but not likely.
It seems you are separating, but her intent to remain in another state with the kids does not mean she intends to deprive you of access to them.
You need to quickly petition the court for a custody order that requires the kids to stay where they are while everything else gets settled.