WAVE is actually on the Kentucky side of the border, albeit a good distance north and east from Louisville, outside Jefferson County.
Two VERY big counties with licensed TV stations but no transmitter sites: Orange County, California, whose KDOC 56 and KOCE 50 both call Mount Wilson home these days, if memory serves, and Denver County, Colorado, whose TV sites are up on Lookout Mountain in Jefferson County.
When analog TV goes away, you can add Suffolk County (Boston), Mass., since the TV transmitters for most of its stations are in Newton, Middlesex County and Needham, which I think is across the line in Norfolk County. WBPX 68 has its analog site on the Prudential Tower in Boston, but DTV is in Newton; WMFP 62 (licensed to Lawrence, Essex Co.) has analog on One Beacon Street in Boston, with DTV out in Newton as well.
Then there's New Castle County, Delaware, whose TV stations (WHYY 12 and WPPX 61 Wilmington) are across the state line in Roxborough, Philadelphia Co., Pennsylvania.
I don't recall off the top of my head which county the Shoreview transmitter site in Minneapolis/St. Paul is actually in, but I want to say it's Ramsey (St. Paul), which would mean no TV sites in Hennepin (Minneapolis), either.
Pretty much any big metro area with a TV tower farm will yield counties with COLs but no tx sites, come to think of it. The Miami tower farm's on the Miami-Dade County side of the line, I think, so no TV towers in Broward County (Fort Lauderdale), for instance. Ditto the Cedar Hill farm in Dallas-Fort Worth - it's in Dallas County, with no TV towers in Tarrant County (Fort Worth). On a smaller scale, there's Schenectady, NY, whose TV stations are in the Helderbergs antenna farm across the line in Albany County.