I believe fireworks are illegal in NY as well. Closest in Northeast that allows Class 1 or A fireworks (i.e. ones that actually explode or launch) would be to go to New Hampshire, but be careful of how much you buy because it is illegal to transport them out of state, so if you get an overzealous state trooper, staking out a fireworks shop near the NH border line the penalties are fairly extreme (I spoke with a fireworks seller in CT who can only sell sparkling, non-aerial fireworks) that the penalty is loss of the fireworks, plus $100 or $50 per piece of illegal fireworks. If you bought them with the intent to sell, then there's jail time thrown in too.
Don't mean to rain on your celebration. It can be done, but just be careful as the saying goes.