I was sitting air defense alert in New Jersey during that time period. If it happened, nobody told us. And I don't think the Police Departments have any capability to "take something down" off the coast. Even a hang glider.
The staties, NYPD, and a few others probably have helicopters and/or light planes enough to force down an ultralight. None of those things could come close to outrunning a helicopter.
You would be surprised how many planes are owned by state and city governments.
Not to say anything like this actually happened.