As someone who sets policy and makes hiring decisions, I don't believe that it would be a legal question in an interview. Everyone must be an equal opportunity employer and I don't feel that that question would stand up in court if a candidate didn't get the job. If they "feel" that they didn't get the job because you asked that question, then they "may" have grounds for a lawsuit, assuming an attorney would take the case.
I know that I have at least two people who work for me who have carry permits, but I don't believe they carry at work, at least I have never been able to tell. If they do, they do a good job of keeping them concealed. I know they have permits because we have discussed it and I hooked them up with the class they needed to take to get their permits.